Bayesian analysis of non-negative ar(2) processes

DOI10.1080/02331889108802338MaRDI QIDQ3989505zbMATH OpenOpenAlexFDO

Authors Jiří Anděl, Manuel T. Garrido

Publication date 28 June 1992

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331889108802338

zbMATH Keywords

approximationautoregressive parametersexplicit formulasexponentially distributed white noisenon-negative \(AR(2)\) processposterior expectationssimulation studystrong consistencyvague prior density

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• scientific article; zbMATH DE number 176264
• NON‐NEGATIVE AUTOREGRESSIVE MODELS
• scientific article; zbMATH DE number 179179
• Nonlinear positive ar(2) processes
• Nonlinear nonnegative ar(1) processes

Cites work

• BAYESian Analysis of an Autoregressiye Process with Exponential White Noise
• First-order autoregressive gamma sequences and point processes
• Infrence for non-negative autoregressive schemes
• NON-NEGATIVE AUTOREGRESSIVE PROCESSES

Cited in

(7)

• scientific article; zbMATH DE number 6001248 (Why is no real title available?)
• Nonlinear positive ar(2) processes
• Infrence for non-negative autoregressive schemes
• scientific article; zbMATH DE number 176264 (Why is no real title available?)
• NON‐NEGATIVE AUTOREGRESSIVE MODELS
• The \(\operatorname{ARIMA}(p,d,q)\) on upper sided of CUSUM procedure
• Bayesian prediction in threshold autoregressive models with exponential white noise

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