Bayesian inference of autoregressive and functional-coefficient moving average models

DOI10.1080/03610926.2012.742110zbMATH Open1311.62157OpenAlexW2081623335MaRDI QIDQ5249201FDOQ5249201

Hai-Bin Wang, Ping Wu

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

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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)

Cites Work

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• Bayesian estimation of free-knot splines using reversible jumps.
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• Parameter Estimation and Subset Selection for Separable lower Triangular Bilinear Models
• Bayesian inferences and forecasting in bilinear time series models

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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