Bayesian estimation of an autoregressive model using Markov chain Monte Carlo
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Publication:2565039
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Cited in
(47)- Bayesian analysis of autoregressive moving average processes with unknown orders
- Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables
- Bayesian model selection for unit root testing with multiple structural breaks
- Bayesian estimation of switching ARMA models
- Markov chain Monte Carlo estimation of autoregressive models with application to metal pollutant concentration in sludge
- On MCMC sampling in self-exciting integer-valued threshold time series models
- Bayesian estimation for threshold autoregressive model with multiple structural breaks
- Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis
- Bayesian nonparametric spectral density estimation using B-spline priors
- Forecasting volatility in the presence of model instability
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- Robust Bayesian approach for \(\text{AR}(p)\) models applied to streamflow forecasting
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- Bayesian analysis of a linear mixed model with AR(p) errors via MCMC
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- Reversible Jump Markov Chain Monte Carlo Strategies for Bayesian Model Selection in Autoregressive Processes
- scientific article; zbMATH DE number 6963645 (Why is no real title available?)
- Bayesian Variable Selection and Regularization for Time–Frequency Surface Estimation
- Bayesian comparative study on binary time series
- Random autoregressive models: a structured overview
- Bayesian inference for double SARMA models
- Combining Bayesian method and Kalman smoother for detection additive outlier patches in autoregressive time series
- Bayesian identification of double seasonal autoregressive time series models
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- Estimation of stationary autoregressive models with the Bayesian LASSO
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- Gibbs sampling for Bayesian estimation of triple seasonal autoregressive models
- Bayesian analysis of spherically parameterized dynamic multivariate stochastic volatility models
- Full Bayesian analysis of double seasonal autoregressive models with real applications
- Spatial von-Mises Fisher Regression for Directional Data
- Bayesian estimation of seasonal autoregressive models with scale-mixtures of normal errors
- Bayesian modeling and forecasting of seasonal autoregressive models with scale-mixtures of normal errors
- A novel double-banded-threshold mixture autoregressive model
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- Gibbs sampler for Bayesian prediction of triple seasonal autoregressive processes
- Full Bayesian analysis of seasonal autoregressive models under scale-mixtures of normal errors
- Bayesian inference on the order of stationary vector autoregressions
- Bayesian monitoring of local residual autocorrelations taking into account the run-length
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