BAYESian Analysis of an Autoregressiye Process with Exponential White Noise

DOI10.1080/02331889008802270zbMath0723.62051OpenAlexW1987833696WikidataQ58650842 ScholiaQ58650842MaRDI QIDQ3210735

M. Antonia Amaral-Turkman

Publication date: 1990

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889008802270

zbMATH Keywords

exponential distributionmaximum likelihood estimatesautoregressive modelpredictive inferenceHPD credible setsBayesian estimates

Mathematics Subject Classification ID

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

Related Items (7)

Bayesian analysis of non-negative ar(2) processes ⋮ A conjugate family for ar(1) processes with exponential errors ⋮ Bayesian autoregressive adaptive refined descriptive sampling algorithm in the Monte Carlo simulation ⋮ A Bayesian Approach to Understanding Time Series Data ⋮ Large deviations for Bayesian estimators in first-order autoregressive processes ⋮ Bayesian estimation of an AR(1) process with exponential white noise ⋮ Unnamed Item

Cites Work

• Infrence for non-negative autoregressive schemes
• On ar(1) processes with exponential white noise
• First-order autoregressive gamma sequences and point processes

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