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

Recommendations

• Bayesian Identification of Moving Average Models
• Identification of moving average models: a Bayesian approach
• Bayesian Identification of Multivariate Autoregressive Processes
• Bayesian identification of seasonal multivariate autoregressive processes
• A note on a Bayesian order determination procedure for vectorautoregressive processes

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)

Cites Work

• A new look at the statistical model identification
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Fully Bayesian analysis of ARMA time series models
• Title not available (Why is that?)
• Title not available (Why is that?)
• Bayesian Identification of Seasonal Autoregressive Models
• Bayesian Identification of Moving Average Models
• Bayesian Identification of Multivariate Autoregressive Processes

Cited In (3)

• Bayesian identification of seasonal multivariate autoregressive processes
• Bayesian Identification of Multivariate Autoregressive Processes
• Title not available (Why is that?)

This page was built for publication: Bayesian model order selection of vector moving average processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2884872)