Bayesian model order selection of vector moving average processes

DOI10.1080/03610926.2010.529531zbMATH Open1238.62107OpenAlexW2117819142MaRDI QIDQ2884872FDOQ2884872

Authors Samir Moustafa Shaarawy, S. S. Ali

Publication date 18 May 2012

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2010.529531

zbMATH Keywords

identificationprobability mass functionlikelihood functionvector moving average processesAIC techniquematrix normal-Wishart distribution

Mathematics Subject Classification ID

Bayesian inference (62F15) Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• Bayesian Identification of Moving Average Models
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Cites work

• scientific article; zbMATH DE number 4176283 (Why is no real title available?)
• scientific article; zbMATH DE number 3426675 (Why is no real title available?)
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
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• scientific article; zbMATH DE number 3727458 (Why is no real title available?)
• scientific article; zbMATH DE number 52648 (Why is no real title available?)
• A new look at the statistical model identification
• Bayesian Identification of Moving Average Models
• Bayesian Identification of Multivariate Autoregressive Processes
• Bayesian Identification of Seasonal Autoregressive Models
• Fully Bayesian analysis of ARMA time series models

Cited in

(3)

• Bayesian identification of seasonal multivariate autoregressive processes
• Bayesian Identification of Multivariate Autoregressive Processes
• scientific article; zbMATH DE number 5657473 (Why is no real title available?)

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