Bayesian multiperiod forecasts for ARX models

DOI10.1007/BF00773458zbMath0833.62090MaRDI QIDQ1901388

Shu-ing Liu

Publication date: 8 November 1995

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

zbMATH Keywords

predictionautoregressive modelsARX modelposterior predictive density\(t\)-density estimator\(t\)-density mixture approximationBayesian multiperiod forecastsrandom regression

Mathematics Subject Classification ID

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

Related Items (1)

Estimation and simulation of autoregressive Hilbertian processes with exogenous variables

Cites Work

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• Multiperiod Bayesian forecasts for AR models
• Fully Bayesian analysis of ARMA time series models
• Sampling-Based Approaches to Calculating Marginal Densities
• Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.

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