Bayesian Inferences and Forecasts With Multiple Autoregressive Moving Average Models

DOI10.1080/03610918908812836zbMath0695.62221OpenAlexW2012977239MaRDI QIDQ3471572

Samir Moustafa Shaarawy

Publication date: 1989

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918908812836

zbMATH Keywords

posterior distributionmatric-variate generalization of t distributionmatrix t-approximationmultiple ARMA processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items

An effectiveness study of the Bayesian inference with multivariate autoregressive moving average processes, Bayesian classification with multivariate autoregressive sources that might have different orders

Cites Work

• Fully Bayesian analysis of ARMA time series models
• Analysis of autoregressive-moving average models: Estimation and prediction
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• Matricvariate Generalizations of the Multivariate $t$ Distribution and the Inverted Multivariate $t$ Distribution
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