Bayesian Identification of Seasonal Multivariate Autoregressive Processes

DOI10.1080/03610926.2012.752850zbMath1346.37063OpenAlexW2005507205MaRDI QIDQ5259096

Sherif S. Ali, Samir Moustafa Shaarawy

Publication date: 24 June 2015

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.752850

zbMATH Keywords

identificationconditional likelihood functionmatrix normal-Wishart distributionposterior mass functionseasonal multivariate autoregressive processes

Mathematics Subject Classification ID

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

Related Items (1)

Bayesian modeling and forecasting of vector autoregressive moving average processes

Cites Work

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• Order selection in nonstationary autoregressive models
• Modeling by shortest data description
• Estimating the dimension of a model
• Fully Bayesian analysis of ARMA time series models
• Bayesian Identification of Seasonal Autoregressive Models
• Bayesian Identification of Moving Average Models
• Bayesian Identification of Multivariate Autoregressive Processes
• A new look at the statistical model identification

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