Bayesian Inferences and Forecasts With Multiple Autoregressive Moving Average Models

DOI10.1080/03610918908812836MaRDI QIDQ3471572zbMATH OpenOpenAlexFDO

Authors Samir Moustafa Shaarawy

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

zbMATH Keywords

matric-variate generalization of t distributionmatrix t-approximationmultiple ARMA processesposterior distribution

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• Analysis of autoregressive-moving average models: Estimation and prediction
• Fully Bayesian analysis of ARMA time series models
• scientific article; zbMATH DE number 3426675 (Why is no real title available?)
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Matricvariate Generalizations of the Multivariate t Distribution and the Inverted Multivariate t Distribution

Cited in

(17)

• Multiperiod Bayesian forecasts for AR models
• Bayesian multiperiod forecasts for ARX models
• Mind your \(p\)s and \(q\)s! Improving ARMA forecasts with RBC priors
• Forecasting Short Time Series with the Bayesian Autoregression and the Soft Computing Prior Information
• Forecasting in dynamic factor models using Bayesian model averaging
• Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights
• On forecasting with univariate autoregressive processes: a bayesian approach
• ROBUST BAYESIAN ESTIMATION OF AUTOREGRESSIVE‐‐MOVING‐AVERAGE MODELS
• Comparison of forecasts for arma models between a random coefficient approach and a bayesian approach
• Bayesian classification with multivariate autoregressive sources that might have different orders
• Bayesian inference for double SARMA models
• Bayesian estimate of parameters for ARMA model forecasting
• Bayesian inference of autoregressive and functional-coefficient moving average models
• APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE‐DIMENSIONAL MULTICOUNTRY VARs
• Bayesian modeling and forecasting of vector autoregressive moving average processes
• An effectiveness study of the Bayesian inference with multivariate autoregressive moving average processes
• Vector moving average models: a review

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