Bayesian identification of seasonal multivariate autoregressive processes

DOI10.1080/03610926.2012.752850MaRDI QIDQ5259096zbMATH OpenOpenAlexFDO

Authors Samir Moustafa Shaarawy, S. S. Ali

Publication date 24 June 2015

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

Full work available at URL https://doi.org/10.1080/03610926.2012.752850

zbMATH Keywords

identificationconditional likelihood functionmatrix normal-Wishart distributionposterior mass functionseasonal multivariate autoregressive processes

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series analysis of dynamical systems (37M10)

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Cites work

• scientific article; zbMATH DE number 3426675 (Why is no real title available?)
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 3713041 (Why is no real title available?)
• scientific article; zbMATH DE number 3727458 (Why is no real title available?)
• scientific article; zbMATH DE number 52648 (Why is no real title available?)
• A new look at the statistical model identification
• Bayesian Identification of Moving Average Models
• Bayesian Identification of Multivariate Autoregressive Processes
• Bayesian Identification of Seasonal Autoregressive Models
• Estimating the dimension of a model
• Fully Bayesian analysis of ARMA time series models
• Modeling by shortest data description
• Order selection in nonstationary autoregressive models

Cited in

(6)

• Bayesian analysis of double seasonal autoregressive models
• Bayesian modeling and forecasting of vector autoregressive moving average processes
• Bayesian Identification of Multivariate Autoregressive Processes
• An unbiased autoregressive conditional intraday seasonal variance filtering process
• Bayesian model order selection of vector moving average processes
• Bayesian Identification of Seasonal Autoregressive Models

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