Bayesian forecasting for AR(1) models with normal coefficients

DOI10.1080/03610929008830317zbMath0724.62093OpenAlexW2000915990MaRDI QIDQ3212164

Joaquin Diaz

Publication date: 1990

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

Full work available at URL: https://doi.org/10.1080/03610929008830317

zbMATH Keywords

autoregressive modelstime series forecastingconditional predictive distributionConjugate priorsimproper vague priorsmarginal predictive distributionnormal random coefficientpredictive density of the future observation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15)

Related Items (2)

Random autoregressive models: A structured overview ⋮ Bayesian prediction for stochastic processes: theory and applications

Cites Work

• Estimation of random coefficient regression models
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II

This page was built for publication: Bayesian forecasting for AR(1) models with normal coefficients