Bayes inference in regression models with ARMA\((p,q)\) errors (Q1341195)

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Bayes inference in regression models with ARMA\((p,q)\) errors
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    Bayes inference in regression models with ARMA\((p,q)\) errors (English)
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    1 March 1995
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    data augmentation
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    full conditional distributions
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    ARMA(p,q) regression error models
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    stationary AR(p)
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    invertible MA(q) models
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    recursive transformations
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    Gibbs sampling
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    Metropolis-Hastings algorithms
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    Markov chain sampler
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    ARMA time series
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    likelihood function
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    diffuse priors
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    frequentist estimation
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