Bayesian forecasting for AR(1) models with normal coefficients

DOI10.1080/03610929008830317MaRDI QIDQ3212164zbMATH OpenOpenAlexFDO

Authors Joaquin Diaz

Publication date 1990

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929008830317

zbMATH Keywords

autoregressive modelsconditional predictive distributionConjugate priorsimproper vague priorsmarginal predictive distributionnormal random coefficientpredictive density of the future observationtime series forecasting

Mathematics Subject Classification ID

Bayesian inference (62F15) Inference from stochastic processes and prediction (62M20)

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Cites work

• Estimation of random coefficient regression models
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I

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(10)

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• Comparison of forecasts for arma models between a random coefficient approach and a bayesian approach
• Random autoregressive models: a structured overview
• Bayesian estimate of parameters for ARMA model forecasting
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• Bayesian forecasting in univariate autoregressive models with normal-gamma prior distribution of unknown parameters

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