Bayesian estimation for time-series regressions improved with exact likelihoods

DOI10.1080/00949650310001643270zbMATH Open1211.62148OpenAlexW2105492613MaRDI QIDQ4826344FDOQ4826344

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

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

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