Bayesian Model Order Selection of Vector Moving Average Processes

DOI10.1080/03610926.2010.529531zbMath1238.62107OpenAlexW2117819142MaRDI QIDQ2884872

Samir Moustafa Shaarawy, Sherif S. Ali

Publication date: 18 May 2012

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2010.529531

zbMATH Keywords

identificationlikelihood functionprobability mass functionvector moving average processesAIC techniquematrix normal-Wishart distribution

Mathematics Subject Classification ID

Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Cites Work

• Fully Bayesian analysis of ARMA time series models
• Bayesian Identification of Seasonal Autoregressive Models
• Bayesian Identification of Moving Average Models
• Bayesian Identification of Multivariate Autoregressive Processes
• A new look at the statistical model identification
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