Multiperiod Bayesian forecasts for AR models

zbMATH Open0817.62022MaRDI QIDQ1804813FDOQ1804813

Authors: Shu-ing Liu 

Publication date: 3 July 1995

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

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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)

Cited In (4)

• Bayesian multiperiod forecasts for ARX models
• On forecasting with univariate autoregressive processes: a bayesian approach
• Bayesian forecasting in univariate autoregressive models with normal-gamma prior distribution of unknown parameters
• Title not available (Why is that?)

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