Bayesian identification of double seasonal autoregressive time series models

DOI10.1080/03610918.2018.1458130OpenAlexW2799373068WikidataQ129866600 ScholiaQ129866600MaRDI QIDQ5087521

Ayman A. Amin

Publication date: 1 July 2022

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

Full work available at URL: https://doi.org/10.1080/03610918.2018.1458130

zbMATH Keywords

multiple seasonalityDSAR modelshourly Internet trafficposterior mass function

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series analysis of dynamical systems (37M10)

Related Items (2)

Gibbs sampling for Bayesian estimation of triple seasonal autoregressive models ⋮ Bayesian analysis of double seasonal autoregressive models

Cites Work

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• Bayesian estimation of an autoregressive model using Markov chain Monte Carlo
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• ROBUST BAYESIAN ESTIMATION OF AUTOREGRESSIVE‐‐MOVING‐AVERAGE MODELS
• Bayesian Identification of Seasonal Autoregressive Models
• Bayesian inference for double SARMA models
• Kullback-Leibler divergence to evaluate posterior sensitivity to different priors for autoregressive time series models
• Bayesian Inference for Double Seasonal Moving Average Models: A Gibbs Sampling Approach
• Sensitivity to Prior Specification in Bayesian Identification of Autoregressive Time Series Models
• Benchmark priors for Bayesian model averaging.

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