Bayesian Identification of Moving Average Models

DOI10.1080/03610920701215449zbMath1127.62084OpenAlexW2047433979MaRDI QIDQ5421578

Emad E. A. Soliman, Sherif S. Ali, Samir Moustafa Shaarawy

Publication date: 24 October 2007

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

Full work available at URL: https://doi.org/10.1080/03610920701215449

zbMATH Keywords

identificationmoving average processesnormal gamma densityposterior probability mass functionautomatic techniques

Mathematics Subject Classification ID

Related Items (5)

Bayesian Model Order Selection of Vector Moving Average Processes ⋮ Kullback-Leibler divergence to evaluate posterior sensitivity to different priors for autoregressive time series models ⋮ Bayesian modeling and forecasting of vector autoregressive moving average processes ⋮ An effectiveness study of the Bayesian inference with multivariate autoregressive moving average processes ⋮ Bayesian Identification of Seasonal Multivariate Autoregressive Processes

Cites Work

• Fully Bayesian analysis of ARMA time series models
• Bayesian Identification of Seasonal Autoregressive Models
• A new look at the statistical model identification
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