On models and methods for Bayesian time series analysis
DOI10.1016/0304-4076(85)90132-0zbMATH Open0584.62191OpenAlexW2085474537MaRDI QIDQ1069650FDOQ1069650
Arthur P. Dempster, Andrew B. Jonas, John B. Carlin
Publication date: 1985
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(85)90132-0
sensitivitypredictionfrequency domain representationsadjustmentBayesian principlescomponent modelsforecasting univariate time seriesfractionally differenced Gaussian processesgraphical diagnostic displayssimultaneous estimation of deterministic along with random components
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
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- Seasonal Adjustment by Signal Extraction
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- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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Cited In (22)
- Bayesian Analysis of Time Series
- Bayesian comparative study on binary time series
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- Data analysis using regression models with missing observations and long-memory: an application study
- Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
- Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
- Forecasting time series with common seasonal patterns (with discussion)
- ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM
- A Bayesian approach to state space multivariate time series modeling
- Deterministic versus stochastic seasonal fractional integration and structural breaks
- Long memory processes and fractional integration in econometrics
- Bayesian Subset Model Selection for Time Series
- Title not available (Why is that?)
- Bayesian Spectral Modeling for Multiple Time Series
- Bayesian hierarchical models incorporating measurement error for interrupted time series design
- Bayes Nets of Time Series: Stochastic Realizations and Projections
- IMPROVING THE COMPUTATIONAL EFFICIENCY OF THE BAYESIAN DECOMPOSITION OF A TIME SERIES: A COMMENT
- Deterministic seasonality versus seasonal fractional integration
- Title not available (Why is that?)
- Bayesian inference on periodicities and component spectral structure in time series
- Properties of seasonal long memory processes
- Title not available (Why is that?)
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