Fully Bayesian analysis of ARMA time series models

DOI10.1016/0304-4076(83)90048-9zbMath0509.62084OpenAlexW1998841711MaRDI QIDQ1838260

John F. Monahan

Publication date: 1983

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

Full work available at URL: https://doi.org/10.1016/0304-4076(83)90048-9

zbMATH Keywords

Bayes factorloss functionposterior distributionprior distributionconjugate priorsautoregressive-moving average modelsforecastsorder determinationARMA time series models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Probabilistic methods, stochastic differential equations (65C99)

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• Analysis of Distributed Lag Models with Applications to Consumption Function Estimation
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• When is an altoregressive scheme stationary
• A new look at the statistical model identification

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