Fully Bayesian analysis of ARMA time series models
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Cites work
- scientific article; zbMATH DE number 3179103 (Why is no real title available?)
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- A Bayesian extension of the minimum AIC procedure of autoregressive model fitting
- A method for testing the order of an autoregressive-moving average process
- A new look at the statistical model identification
- An algorithm for the exact likelihood of a mixed autoregressive-moving average process
- Analysis of Distributed Lag Models with Applications to Consumption Function Estimation
- Bayesian analysis of the federal reserve-MIT-Penn model's Almon lag consumption function
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Finite sample properties of estimators for autoregressive moving average models
- On a measure of lack of fit in time series models
- On the Elimination of Nuisance Parameters
- Significance levels of the Box-Pierce portmanteau statistic in finite samples
- The equivalence of two tests of time series model adequacy
- When is an altoregressive scheme stationary
Cited in
(27)- Typical decision problems in the first-order autoregressive time series
- A Bayesian Approach to Understanding Time Series Data
- Forecasting time series with common seasonal patterns (with discussion)
- Dynamic modeling of mean-reverting spreads for statistical arbitrage
- An effectiveness study of the Bayesian inference with multivariate autoregressive moving average processes
- A Bayesian approach to state space multivariate time series modeling
- Bayesian autoregressive adaptive refined descriptive sampling algorithm in the Monte Carlo simulation
- Bayesian analysis in econometrics
- Bayesian identification of seasonal multivariate autoregressive processes
- Bayesian estimation of an autoregressive model using Markov chain Monte Carlo
- A scalarization technique for computing the power and exponential moments of Gaussian random matrices
- Bayesian multiperiod forecasts for ARX models
- Bayes inference in regression models with ARMA\((p,q)\) errors
- Bayesian analysis of autoregressive moving average processes with unknown orders
- Bayesian modeling and forecasting of vector autoregressive moving average processes
- Bayesian Identification of Multivariate Autoregressive Processes
- Prediction in several conventional contexts
- Exploring economic time series: a Bayesian graphical approach
- Bayesian Comparison of ARIMA and Stationary ARMA Models
- Bayesian Inferences and Forecasts With Multiple Autoregressive Moving Average Models
- Forecasting trends with asset prices
- Bayesian inferences and forecasting in bilinear time series models
- Bayesian classification with multivariate autoregressive sources that might have different orders
- A class of shrinkage priors for the dependence structure in longitudinal data
- Bayesian model order selection of vector moving average processes
- Bayesian Identification of Moving Average Models
- Bayesian Identification of Seasonal Autoregressive Models
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