A simulation study of Bayes estimates of invertible MA(1) model

zbMATH Open1167.62024MaRDI QIDQ3632097FDOQ3632097

Authors: M. M. Smadi, A. Abu-Taleb 

Publication date: 23 June 2009

Recommendations

• scientific article; zbMATH DE number 5657473
• Bayesian estimation of AR(1) models with uniform innovations
• WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*
• ROBUST BAYESIAN ESTIMATION OF AUTOREGRESSIVE‐‐MOVING‐AVERAGE MODELS
• Improved likelihood-based inference for the \(MA(1)\) model

zbMATH Keywords

moving average modelestimated innovations

Mathematics Subject Classification ID

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

This page was built for publication: A simulation study of Bayes estimates of invertible MA(1) model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3632097)