The effect of observations on Bayesian choice of an autoregressive model

DOI10.1111/J.1467-9892.2005.00449.XMaRDI QIDQ3440739zbMATH OpenOpenAlexFDO

Authors Karen D. S. Young, Lawrence I. Pettit

Publication date 29 May 2007

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2005.00449.x

zbMATH Keywords

autoregressive modelBayes factorGibbs samplinginfluential observationmodel choice

Mathematics Subject Classification ID

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

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• Objective Bayesian analysis for autoregressive models with nugget effects

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