Bayesian multiperiod forecasts for ARX models

DOI10.1007/BF00773458MaRDI QIDQ1901388zbMATH OpenFDO

Authors Shu-ing Liu

Publication date 8 November 1995

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

Full work available at URL https://doi.org/10.1007/BF00773458

zbMATH Keywords

\(t\)-density estimator\(t\)-density mixture approximationARX modelautoregressive modelsBayesian multiperiod forecastsposterior predictive densitypredictionrandom regression

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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Cites work

• Fully Bayesian analysis of ARMA time series models
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• scientific article; zbMATH DE number 3883453 (Why is no real title available?)
• scientific article; zbMATH DE number 4155721 (Why is no real title available?)
• Multiperiod Bayesian forecasts for AR models
• Sampling-Based Approaches to Calculating Marginal Densities
• Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.

Cited in

(4)

• Multiperiod Bayesian forecasts for AR models
• Estimation and simulation of autoregressive Hilbertian processes with exogenous variables
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• Bayesian forecasting in univariate autoregressive models with normal-gamma prior distribution of unknown parameters

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