Bayesian Identification of Multivariate Autoregressive Processes

DOI10.1080/03610920701504370zbMATH Open1141.37034OpenAlexW2077516406MaRDI QIDQ5458002FDOQ5458002

S. S. Ali, Samir Moustafa Shaarawy

Publication date: 10 April 2008

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

Full work available at URL: https://doi.org/10.1080/03610920701504370

Recommendations

• Bayesian identification of seasonal multivariate autoregressive processes
• Bayesian Identification of Seasonal Autoregressive Models
• Bayesian model order selection of vector moving average processes
• Bayesian Identification of Moving Average Models
• A note on a Bayesian order determination procedure for vectorautoregressive processes

zbMATH Keywords

identificationprobability mass functionmultivariate autoregressive processesconditional likelihood functionmatrix normal-Wishart distribution

Mathematics Subject Classification ID

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

Cites Work

• A new look at the statistical model identification
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Modeling Multiple Times Series with Applications
• Title not available (Why is that?)
• Fully Bayesian analysis of ARMA time series models
• Title not available (Why is that?)
• Bayesian Identification of Seasonal Autoregressive Models

Cited In (5)

• Bayesian Model Order Selection of Vector Moving Average Processes
• Bayesian modeling and forecasting of vector autoregressive moving average processes
• Structured priors for multivariate time series
• Bayesian Identification of Seasonal Autoregressive Models
• Bayesian Identification of Seasonal Multivariate Autoregressive Processes

This page was built for publication: Bayesian Identification of Multivariate Autoregressive Processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5458002)