Objective priors for causal AR(p) with partial autocorrelations

DOI10.1080/00949655.2012.667409zbMath1453.62639OpenAlexW2065193411MaRDI QIDQ5218891

Brunero Liseo, Christian Macaro

Publication date: 6 March 2020

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

Full work available at URL: https://doi.org/10.1080/00949655.2012.667409

zbMATH Keywords

Jeffreys' priorBayesian inferencedependent datacomplex roots

Mathematics Subject Classification ID

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

Related Items (2)

Prior distributions for objective Bayesian analysis ⋮ Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis

Cites Work

• Efficient tests for the presence of a pair of complex conjugate unit roots in real time series
• Limiting distributions of least squares estimates of unstable autoregressive processes
• On the parametrization of autoregressive models by partial autocorrelations
• Some Remarks on Noninformative Priors
• Understanding Unit Rooters: A Helicopter Tour
• Ordered group reference priors with application to the multinomial problem
• DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
• Estimating a Product of Means: Bayesian Analysis with Reference Priors
• COMPLEX UNIT ROOTS AND BUSINESS CYCLES: ARE THEY REAL?
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