Bayesian inference of autoregressive and functional-coefficient moving average models

DOI10.1080/03610926.2012.742110MaRDI QIDQ5249201zbMATH OpenOpenAlexFDO

Authors Ping Wu, Hai-Bin Wang

Publication date 29 April 2015

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

Full work available at URL https://doi.org/10.1080/03610926.2012.742110

zbMATH Keywords

time seriesBayesian model averageposterior predictive distributionfree-knot splinesreversible-jump sampler

Mathematics Subject Classification ID

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

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Cites work

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• Bayesian inferences and forecasting in bilinear time series models
• Bayesian regression with multivariate linear splines
• Generalized Nonlinear Modeling With Multivariate Free-Knot Regression Splines
• Inference from iterative simulation using multiple sequences
• Local linear regression smoothers and their minimax efficiencies
• Nonlinear ARMA models with functional MA coefficients
• Parameter Estimation and Subset Selection for Separable lower Triangular Bilinear Models
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
• Variable bandwidth and local linear regression smoothers

Cited in

(6)

• ROBUST BAYESIAN ESTIMATION OF AUTOREGRESSIVE‐‐MOVING‐AVERAGE MODELS
• Inflated beta autoregressive moving average models
• Identification of moving average models: a Bayesian approach
• Bayesian modeling and forecasting of vector autoregressive moving average processes
• Bayesian Inferences and Forecasts With Multiple Autoregressive Moving Average Models
• Bayesian Identification of Moving Average Models

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