Priors and Component Structures in Autoregressive Time Series Models
DOI10.1111/1467-9868.00208zbMATH Open0940.62079OpenAlexW2033518244MaRDI QIDQ4935290FDOQ4935290
Authors: Gabriel Huerta, Mike West 
Publication date: 24 July 2000
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9868.00208
Recommendations
dynamic linear modelsBayesian time seriestime series decompositionsautoregressive component modelslatent time series structurequasi-periodic time series components
Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Meteorology and atmospheric physics (86A10)
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- Trends and cycles in economic time series: a Bayesian approach
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- Time series modelling methods to forecast the volume of self-assessment tax returns in the UK
- Autoregressive models for capture-recapture data: a Bayesian approach
- Efficient Construction of Reversible Jump Markov Chain Monte Carlo Proposal Distributions
- Quantifying the uncertainty in change points
- A weakly informative prior for Bayesian dynamic model selection with applications in fMRI
- Structured priors for multivariate time series
- Sequential estimation of mixtures of structured autoregressive models
- Time series decomposition into oscillation components and phase estimation
- Bayesian consistency for stationary models
- Bayesian inference on periodicities and component spectral structure in time series
- Bayesian nonparametric density autoregression with lag selection
- Superharmonic priors for autoregressive models
- Autoregressive prediction with rolling mechanism for time series forecasting with small sample size
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