Bayesian analysis of double seasonal autoregressive models

DOI10.1007/s13571-019-00192-zzbMath1467.62140OpenAlexW2932311578MaRDI QIDQ2023798

Ayman A. Amin

Publication date: 3 May 2021

Published in: Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13571-019-00192-z

zbMATH Keywords

Gibbs samplerMCMC methodspredictive analysisposterior analysismultiple seasonalityInternet traffic datamultiplicative seasonal autoregressive

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Applications of statistics in engineering and industry; control charts (62P30)

Related Items (1)

Gibbs sampling for Bayesian estimation of triple seasonal autoregressive models

Cites Work

• A Comparison of Univariate Time Series Methods for Forecasting Intraday Arrivals at a Call Center
• Bayesian Identification of Seasonal Autoregressive Models
• Bayesian inference for double SARMA models
• Kullback-Leibler divergence to evaluate posterior sensitivity to different priors for autoregressive time series models
• Bayesian identification of double seasonal autoregressive time series models
• Bayesian Inference for Double Seasonal Moving Average Models: A Gibbs Sampling Approach
• Sensitivity to Prior Specification in Bayesian Identification of Autoregressive Time Series Models
• Benchmark priors for Bayesian model averaging.
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Bayesian analysis of double seasonal autoregressive models