Bayesian estimation of an autoregressive model using Markov chain Monte Carlo

DOI10.1016/0304-4076(95)01744-5zbMath0864.62057OpenAlexW2043988807MaRDI QIDQ2565039

Simon J. Sheather, Glen Barnett, Robert Kohn

Publication date: 26 June 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01744-5

zbMATH Keywords

outlierstime seriesstationaritymissing valuesorder selectionMetropolis-within-Gibbs algorithmpartial autocorrelationsautoregressive model estimationchoice of autoregressive ordermultiplicative seasonality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items

LONG-RANGE DEPENDENT COMMON FACTOR MODELS: A BAYESIAN APPROACH, Random autoregressive models: A structured overview, Bayesian Variable Selection and Regularization for Time–Frequency Surface Estimation, Bayesian inference for double SARMA models, Bayesian model selection for unit root testing with multiple structural breaks, Combining Bayesian method and Kalman smoother for detection additive outlier patches in autoregressive time series, Bayesian identification of double seasonal autoregressive time series models, Bayesian inference in a multiple contaminated autoregressive model with trend, Bayesian inference for a mixture double autoregressive model, Bayesian autoregressive adaptive refined descriptive sampling algorithm in the Monte Carlo simulation, Gibbs sampling for Bayesian estimation of triple seasonal autoregressive models, Bayesian analysis of spherically parameterized dynamic multivariate stochastic volatility models, Bayesian estimation for threshold autoregressive model with multiple structural breaks, Genetic algorithms for the identification of additive and innovation outliers in time series, Bayesian analysis of a linear mixed model with AR(p) errors via MCMC, Time‐varying autoregressions with model order uncertainty, Bayesian Subset Model Selection for Time Series, Reversible Jump Markov Chain Monte Carlo Strategies for Bayesian Model Selection in Autoregressive Processes, Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis, Bayesian comparative study on binary time series, FORECASTING VOLATILITY IN THE PRESENCE OF MODEL INSTABILITY, Bayesian analysis of autoregressive moving average processes with unknown orders, Outlier Detection And Estimation In NonLinear Time Series, Bayesian estimation of switching ARMA models, Unnamed Item, On MCMC sampling in self-exciting integer-valued threshold time series models, Bayesian nonparametric spectral density estimation using B-spline priors

Cites Work

• Bayes regression with autoregressive errors. A Gibbs sampling approach
• Bayes inference in regression models with ARMA\((p,q)\) errors
• Inference from iterative simulation using multiple sequences
• Fully Bayesian analysis of ARMA time series models
• Markov chains for exploring posterior distributions. (With discussion)
• On the parametrization of autoregressive models by partial autocorrelations
• Sampling-Based Approaches to Calculating Marginal Densities
• Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data
• BAYESIAN ANALYSIS OF AUTOREGRESSIVE TIME SERIES VIA THE GIBBS SAMPLER
• Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• Monte Carlo sampling methods using Markov chains and their applications
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item