Bayesian Identification of Seasonal Multivariate Autoregressive Processes

DOI10.1080/03610926.2012.752850zbMATH Open1346.37063OpenAlexW2005507205MaRDI QIDQ5259096FDOQ5259096

S. S. Ali, Samir Moustafa Shaarawy

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)

Cites Work

• Estimating the dimension of a model
• A new look at the statistical model identification
• Modeling by shortest data description
• Order selection in nonstationary autoregressive models
• Fully Bayesian analysis of ARMA time series models
• Bayesian Identification of Seasonal Autoregressive Models
• Bayesian Identification of Moving Average Models
• Bayesian Identification of Multivariate Autoregressive Processes
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Cited In (3)

• Bayesian analysis of double seasonal autoregressive models
• Bayesian modeling and forecasting of vector autoregressive moving average processes
• An unbiased autoregressive conditional intraday seasonal variance filtering process

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