A Bayes procedure for the identification of univariate time series models

DOI10.1214/aos/1176349935zbMath0603.62093OpenAlexW2048489184MaRDI QIDQ1082767

D. S. Poskitt

Publication date: 1986

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176349935

zbMATH Keywords

consistencymodel selectiontime seriespower spectrumARMABayes decision rulecriterion functionGaussian densityorder determinationautocorrelations of the residual processautoregressive moving-averageidentification criterionintegrated square relative errorone-step ahead prediction error varianceposterior expected utility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian problems; characterization of Bayes procedures (62C10)

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