On the estimation problem of periodic autoregressive time series: symmetric and asymmetric innovations

DOI10.1080/00949655.2018.1535599OpenAlexW2896536853MaRDI QIDQ5107312

T. Manouchehri, A. R. Nematollahi

Publication date: 27 April 2020

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

Full work available at URL: https://doi.org/10.1080/00949655.2018.1535599

zbMATH Keywords

Bayesian analysisBayes factorGibbs samplingreference priorMCMCJeffreys priorskew-normalVAR modelshit-and-run samplerPAR models

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Stationary stochastic processes (60G10)

Related Items (2)

PAR(1) model analysis: a web-based shiny application for analysing periodic autoregressive models ⋮ Periodic autoregressive models with closed skew-normal innovations

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