Bayesian estimate of parameters for ARMA model forecasting

DOI10.2478/TMMP-2020-0002MaRDI QIDQ5142422zbMATH OpenOpenAlexFDO

Authors Zul Amry

Publication date 30 December 2020

Published in Tatra Mountains Mathematical Publications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2478/tmmp-2020-0002

zbMATH Keywords

ARMA modelBayes estimatornormal-gamma priorquadratic loss function

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cited in

(10)

• Bayes inference in regression models with ARMA\((p,q)\) errors
• Bayesian estimation of switching ARMA models
• Bayesian multiperiod forecasts for ARX models
• Mind your \(p\)s and \(q\)s! Improving ARMA forecasts with RBC priors
• Robust Bayesian approach for \(\text{AR}(p)\) models applied to streamflow forecasting
• Asymptotic expansion of the risk difference of the Bayesian spectral density in the autoregressive moving average model
• Bayesian Comparison of ARIMA and Stationary ARMA Models
• scientific article; zbMATH DE number 6929012 (Why is no real title available?)
• Comparison of forecasts for arma models between a random coefficient approach and a bayesian approach
• Quasi-Empirical Bayes Methods of Estimation in Arma (p, q) Models with Vague Prior Information on MA(q)¹

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