Predictive Density Order Selection of Periodic AR Models

DOI10.1080/03610910701877579zbMath1145.62067OpenAlexW2003767783MaRDI QIDQ3527751

Mohamed Bentarzi, Roukia Hemis, Hafida Guerbyenne

Publication date: 30 September 2008

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

Full work available at URL: https://doi.org/10.1080/03610910701877579

zbMATH Keywords

Bayesian approachperiodic autoregressive modelnon-informative prior densitiespredictive density criterion

Mathematics Subject Classification ID

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

Related Items (2)

Predictive density criterion for SETAR models ⋮ On Markov-switching periodicARMAmodels

Uses Software

• partsm

Cites Work

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