Bayesian inference for double SARMA models

DOI10.1080/03610926.2017.1390132OpenAlexW2763636370MaRDI QIDQ5075567

Ayman A. Amin

Publication date: 16 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1390132

zbMATH Keywords

Bayesian analysisposterior distributiondouble seasonalityDSARMA modelhourly electricity load

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (4)

Kullback-Leibler divergence to evaluate posterior sensitivity to different priors for autoregressive time series models ⋮ Bayesian identification of double seasonal autoregressive time series models ⋮ Gibbs sampling for Bayesian estimation of triple seasonal autoregressive models ⋮ Bayesian analysis of double seasonal autoregressive models

Cites Work

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• ROBUST BAYESIAN ESTIMATION OF AUTOREGRESSIVE‐‐MOVING‐AVERAGE MODELS
• Short-term electricity demand forecasting using double seasonal exponential smoothing
• Bayesian Identification of Seasonal Autoregressive Models
• Bayesian Inference for Double Seasonal Moving Average Models: A Gibbs Sampling Approach

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