Multiperiod Bayesian forecasts for AR models

MaRDI QIDQ1804813zbMATH OpenFDO

Authors Shu-ing Liu

Publication date 3 July 1995

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

regression analysisposterior predictive densitymultiperiod Bayesian forecastnormal-gamma prior assumptionone-step ahead forecasttwo-stage approximate methodunivariate \(AR\) models

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

(4)

• Bayesian forecasting in univariate autoregressive models with normal-gamma prior distribution of unknown parameters
• On forecasting with univariate autoregressive processes: a bayesian approach
• scientific article; zbMATH DE number 5872734 (Why is no real title available?)
• Bayesian multiperiod forecasts for ARX models

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