Typical decision problems in the first-order autoregressive time series

DOI10.1080/00949655.2014.945450MaRDI QIDQ5220924zbMATH OpenOpenAlexFDO

Authors A. R. Nematollahi, H. A. Mardani-Fard, E. Razmi, A. R. Soltani

Publication date 27 March 2020

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

Full work available at URL https://doi.org/10.1080/00949655.2014.945450

zbMATH Keywords

autoregressive modelsexpected value of perfect informationexpected value of sample informationlinear valuequadratic opportunity loss

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Bayes inference in regression models with ARMA\((p,q)\) errors
• Computing the distribution of quadratic forms in normal variables
• Fully Bayesian analysis of ARMA time series models
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• Introduction to statistical decision theory.
• On the performance of estimators of parameter in autoregressive model of order one and optimal prediction under asymmetric loss
• The distribution function of a linear combination of chi-squares
• The distribution of the maximum likelihood estimator of the parameter in the first-order autoregressive series
• The distribution of the sum of independent gamma random variables

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(1)

• Providing support for decisions based on time series information under conditions of asymmetric loss

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