Bayesian modeling and forecasting of vector autoregressive moving average processes

DOI10.1080/03610926.2021.1980047MaRDI QIDQ6107552zbMATH OpenOpenAlexFDO

Authors Samir Moustafa Shaarawy

Publication date 3 July 2023

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

Full work available at URL https://doi.org/10.1080/03610926.2021.1980047

zbMATH Keywords

diagnostic checkingestimationforecastingidentificationmatrix \(t\)-distributionVARMA processes

Mathematics Subject Classification ID

Statistics (62-XX)

Recommendations

• scientific article; zbMATH DE number 4197211
• Bayesian Inferences and Forecasts With Multiple Autoregressive Moving Average Models
• Bayesian nonparametric vector autoregressive models
• On forecasting with univariate autoregressive processes: a bayesian approach
• Bayesian inference of autoregressive and functional-coefficient moving average models
• BAYESIAN ANALYSIS OF VECTOR ARFIMA PROCESSES

Cites work

• A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
• An algorithm for the exact likelihood of a stationary vector autoregressive‐moving average model
• Bayes inference in regression models with ARMA\((p,q)\) errors
• Bayesian analysis of autoregressive moving average processes with unknown orders
• Bayesian Identification of Moving Average Models
• Bayesian Identification of Multivariate Autoregressive Processes
• Bayesian identification of seasonal multivariate autoregressive processes
• Business cycle analysis without much theory: A look at structural VARs
• Fully Bayesian analysis of ARMA time series models
• scientific article; zbMATH DE number 4176283 (Why is no real title available?)
• scientific article; zbMATH DE number 3426675 (Why is no real title available?)
• scientific article; zbMATH DE number 3160677 (Why is no real title available?)
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 3509640 (Why is no real title available?)
• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• scientific article; zbMATH DE number 3421793 (Why is no real title available?)
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
• Modeling Multiple Times Series with Applications
• New introduction to multiple time series analysis.
• The exact likelihood function of multivariate autoregressive-moving average models
• Time series analysis. Forecasting and control

Cited in

(5)

• Bayesian learning of graphical vector autoregressions with unequal lag-lengths
• Estimation and forecasting in vector autoregressive moving average models for rich datasets
• Forecasting in dynamic factor models using Bayesian model averaging
• A BAYESIAN APPROACH TO ESTIMATING AND FORECASTING ADDITIVE NONPARAMETRIC AUTOREGRESSIVE MODELS
• Vector moving average models: a review

This page was built for publication: Bayesian modeling and forecasting of vector autoregressive moving average processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6107552)