A Bayesian analysis of spectral ARMA model

DOI10.1155/2012/565894zbMath1264.62080OpenAlexW2088993858WikidataQ58912113 ScholiaQ58912113MaRDI QIDQ1954917

Yuzo Iano, Fernando Antonio Moala, Manoel I. Silvestre Bezerra

Publication date: 11 June 2013

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/565894

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

• Sampling-Based Approaches to Calculating Marginal Densities
• High performance spectral estimation--A new ARMA method
• An efficient linear method for ARMA spectral estimation
• Evaluating some Yule-Walker Methods with the Maximum-Likelihood Estimator for the Spectral ARMA Model
• Monte Carlo sampling methods using Markov chains and their applications
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