A bayesian analysis of autoregressive models with random normal coefficients

DOI10.1080/0094965031000136003zbMath1054.62023OpenAlexW2092226375MaRDI QIDQ4470104

Thelma Sáfadi, Pedro Alberto Morettin

Publication date: 22 June 2004

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/0094965031000136003

zbMATH Keywords

Bayesian analysisGibbs samplerAutoregressive modelsPredictive distribution

Mathematics Subject Classification ID

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

Related Items (4)

Random autoregressive models: A structured overview ⋮ A Bayesian hierarchical copula model ⋮ Comparison of efficiency of estimates by the methods of least absolute deviations and least squares in the autoregression model with random coefficient ⋮ Bayesian prediction for stochastic processes: theory and applications

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