Censored time series analysis with autoregressive moving average models

DOI10.1002/cjs.5550350113zbMath1124.62061OpenAlexW1984288612MaRDI QIDQ5421218

Jung-Wook Park, Marc G. Genton, Sujit Kumar Ghosh

Publication date: 22 October 2007

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: http://www.lib.ncsu.edu/resolver/1840.4/173

zbMATH Keywords

Gibbs samplerFisher information matriximputationtruncated multivariate normal distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Quasi-Likelihood Estimation of a Censored Autoregressive Model With Exogenous Variables, A censored time series analysis for responses on the unit interval: an application to acid rain modeling, Bayesian analysis of censored linear regression models with scale mixtures of normal distributions, Multivariate extended skew-\(t\) distributions and related families, Likelihood testing populations modeled by autoregressive process subject to the limit of detection in applications to longitudinal biomedical data, Most recent changepoint detection in censored panel data, Modeling time series when some observations are zero, Nonparametric autocovariance estimation from censored time series by Gaussian imputation, Quantile Autoregression for Censored Data, A non-iterative Bayesian sampling algorithm for censored Student-tlinear regression models

Uses Software

• R

Cites Work

• Multiple Imputation for Multivariate Data with Missing and Below‐Threshold Measurements: Time‐Series Concentrations of Pollutants in the Arctic
• Sampling-Based Approaches to Calculating Marginal Densities
• Regression Analsis with Censored Autocorrelated Data
• Bayesian Measures of Model Complexity and Fit
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