Bayesian estimation for time-series regressions improved with exact likelihoods

DOI10.1080/00949650310001643270MaRDI QIDQ4826344zbMATH OpenOpenAlexFDO

Authors Cathy W. S. Chen, Jack C. Lee, Hsiang-Yu Lee, Wei-Fang Niu

Publication date 11 November 2004

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650310001643270

Mathematics Subject Classification ID

Point estimation (62F10) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• BAYESIAN ANALYSIS OF AUTOREGRESSIVE TIME SERIES VIA THE GIBBS SAMPLER
• Bayes inference in regression models with ARMA\((p,q)\) errors
• Bayes regression with autoregressive errors. A Gibbs sampling approach
• Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
• Monte Carlo sampling methods using Markov chains and their applications
• On goodness of fit for time series regression models
• On the parametrization of autoregressive models by partial autocorrelations
• THE AUTOCORRELATION FUNCTION AND THE SPECTRAL DENSITY FUNCTION
• The exact likelihood function for a mixed autoregressive-moving average process
• Time series: theory and methods.

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