On models and methods for Bayesian time series analysis

DOI10.1016/0304-4076(85)90132-0zbMath0584.62191OpenAlexW2085474537MaRDI QIDQ1069650

Arthur P. Dempster, Andrew B. Jonas, John B. Carlin

Publication date: 1985

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(85)90132-0

zbMATH Keywords

predictionsensitivityfrequency domain representationsadjustmentBayesian principlescomponent modelsforecasting univariate time seriesfractionally differenced Gaussian processesgraphical diagnostic displayssimultaneous estimation of deterministic along with random components

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Deterministic seasonality versus seasonal fractional integration, ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM, Long memory processes and fractional integration in econometrics, Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series, Data analysis using regression models with missing observations and long-memory: an application study, Forecasting time series with common seasonal patterns (with discussion), Properties of seasonal long memory processes, Deterministic versus stochastic seasonal fractional integration and structural breaks

Cites Work

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• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Decomposition of Seasonal Time Series: A Model for the Census X-11 Program