ROBUST BAYESIAN ESTIMATION OF AUTOREGRESSIVE‐‐MOVING‐AVERAGE MODELS
DOI10.1111/1467-9892.00036zbMATH Open0936.62097OpenAlexW1968536546MaRDI QIDQ4337822FDOQ4337822
Authors: Glen Barnett, Robert Kohn, Simon J. Sheather
Publication date: 18 May 2000
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9892.00036
Recommendations
- Robust Bayesian analysis of an autoregressive model with exponential innovations
- Bayesian inference of autoregressive and functional-coefficient moving average models
- Robust and consistent estimates of autoregressive-moving average parameters
- Robust estimation in vector autoregressive moving-average models
- scientific article; zbMATH DE number 3842986
- Bayesian Inferences and Forecasts With Multiple Autoregressive Moving Average Models
- Bayesian analysis of threshold autoregressive moving average models
Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40) Robustness and adaptive procedures (parametric inference) (62F35)
Cited In (28)
- Robust recursive analysis of seasonal moving average models
- Combining Bayesian method and Kalman smoother for detection additive outlier patches in autoregressive time series
- Analytical Bayes estimator and distribution for outlier infested time series data
- Robust Autoregression: Student-t Innovations Using Variational Bayes
- Bayesian inference of autoregressive and functional-coefficient moving average models
- Bayesian temporal density estimation with autoregressive species sampling models
- Robust Bayesian inference in STAR models with neighbourhood effects
- Robust Bayesian analysis of an autoregressive model with exponential innovations
- Robust Bayesian approach for \(\text{AR}(p)\) models applied to streamflow forecasting
- Title not available (Why is that?)
- Markov chain Monte Carlo estimation of autoregressive models with application to metal pollutant concentration in sludge
- Identification of moving average models: a Bayesian approach
- Bayesian analysis of autoregressive moving average processes with unknown orders
- Prediction in several conventional contexts
- A Bayesian analysis of moving average processes with time-varying parameters
- Bayesian analysis of contaminated quarter plane moving average models
- Bayesian Inferences and Forecasts With Multiple Autoregressive Moving Average Models
- Bayesian model selection for unit root testing with multiple structural breaks
- A simulation study of Bayes estimates of invertible MA(1) model
- Title not available (Why is that?)
- Bayesian Identification of Moving Average Models
- A Bayesian approach for identification of additive outlier in \(\mathrm{AR}(\mathrm{p})\) model
- Robust Identification of Autoregressive Moving Average Models
- Bayesian inference for double SARMA models
- Bayesian identification of double seasonal autoregressive time series models
- Robust time series analysis via measurement error modeling
- Robust time series estimation via weighted likelihood
- Determining the order of an arm a model from outlier contaminated data
This page was built for publication: ROBUST BAYESIAN ESTIMATION OF AUTOREGRESSIVE‐‐MOVING‐AVERAGE MODELS
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4337822)