The effect of observations on Bayesian choice of an autoregressive model

DOI10.1111/J.1467-9892.2005.00449.XzbMath1113.62033OpenAlexW2038490283MaRDI QIDQ3440739

Lawrence I. Pettit, Karen D. S. Young

Publication date: 29 May 2007

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00449.x

zbMATH Keywords

Bayes factorautoregressive modelGibbs samplingmodel choiceinfluential observation

Mathematics Subject Classification ID

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

Cites Work

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