Bayesian analysis of non-negative ar(2) processes

DOI10.1080/02331889108802338zbMath0742.62083OpenAlexW2076396656MaRDI QIDQ3989505

Manuel T. Garrido, Jiří Anděl

Publication date: 28 June 1992

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889108802338

zbMATH Keywords

approximationsimulation studystrong consistencyexplicit formulasautoregressive parametersposterior expectationsvague prior densityexponentially distributed white noisenon-negative \(AR(2)\) process

Mathematics Subject Classification ID

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

Related Items (2)

Bayesian prediction in threshold autoregressive models with exponential white noise ⋮ The \(\operatorname{ARIMA}(p,d,q)\) on upper sided of CUSUM procedure

Cites Work

• BAYESian Analysis of an Autoregressiye Process with Exponential White Noise
• Infrence for non-negative autoregressive schemes
• NON-NEGATIVE AUTOREGRESSIVE PROCESSES
• First-order autoregressive gamma sequences and point processes

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