Multiperiod Bayesian forecasts for AR models

zbMath0817.62022MaRDI QIDQ1804813

Shu-ing Liu

Publication date: 3 July 1995

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

regression analysisposterior predictive densitymultiperiod Bayesian forecastnormal-gamma prior assumptionone-step ahead forecasttwo-stage approximate methodunivariate \(AR\) models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

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