Bayes inference in regression models with ARMA\((p,q)\) errors (Q1341195)
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scientific article; zbMATH DE number 706576
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bayes inference in regression models with ARMA\((p,q)\) errors |
scientific article; zbMATH DE number 706576 |
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Bayes inference in regression models with ARMA\((p,q)\) errors (English)
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1 March 1995
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data augmentation
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full conditional distributions
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ARMA(p,q) regression error models
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stationary AR(p)
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invertible MA(q) models
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recursive transformations
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Gibbs sampling
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Metropolis-Hastings algorithms
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Markov chain sampler
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ARMA time series
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likelihood function
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diffuse priors
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frequentist estimation
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0.9130023
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0.90338516
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