Bayesian Inferences and Forecasts With Multiple Autoregressive Moving Average Models
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Publication:3471572
DOI10.1080/03610918908812836zbMath0695.62221OpenAlexW2012977239MaRDI QIDQ3471572
Publication date: 1989
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918908812836
posterior distributionmatric-variate generalization of t distributionmatrix t-approximationmultiple ARMA processes
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)
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An effectiveness study of the Bayesian inference with multivariate autoregressive moving average processes, Bayesian classification with multivariate autoregressive sources that might have different orders
Cites Work
- Fully Bayesian analysis of ARMA time series models
- Analysis of autoregressive-moving average models: Estimation and prediction
- An algorithm for the exact likelihood of a mixed autoregressive-moving average process
- Matricvariate Generalizations of the Multivariate $t$ Distribution and the Inverted Multivariate $t$ Distribution
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