Typical decision problems in the first-order autoregressive time series

DOI10.1080/00949655.2014.945450zbMath1457.62275OpenAlexW2046251372MaRDI QIDQ5220924

E. Razmi, A. R. Nematollahi, H. A. Mardani-Fard, Ahmad Reza Soltani

Publication date: 27 March 2020

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

Full work available at URL: https://doi.org/10.1080/00949655.2014.945450

zbMATH Keywords

autoregressive modelslinear valueexpected value of perfect informationexpected value of sample informationquadratic opportunity loss

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian problems; characterization of Bayes procedures (62C10)

Cites Work

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• The distribution of the sum of independent gamma random variables
• The distribution function of a linear combination of chi-squares
• Bayes inference in regression models with ARMA\((p,q)\) errors
• Fully Bayesian analysis of ARMA time series models
• Computing the distribution of quadratic forms in normal variables
• The distribution of the maximum likelihood estimator of the parameter in the first-order autoregressive series

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