Bayesian Identification of Multivariate Autoregressive Processes

DOI10.1080/03610920701504370zbMath1141.37034OpenAlexW2077516406MaRDI QIDQ5458002

Sherif S. Ali, Samir Moustafa Shaarawy

Publication date: 10 April 2008

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

Full work available at URL: https://doi.org/10.1080/03610920701504370

zbMATH Keywords

identificationprobability mass functionmultivariate autoregressive processesconditional likelihood functionmatrix normal-Wishart distribution

Mathematics Subject Classification ID

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

Related Items (3)

Bayesian Model Order Selection of Vector Moving Average Processes ⋮ Bayesian modeling and forecasting of vector autoregressive moving average processes ⋮ Bayesian Identification of Seasonal Multivariate Autoregressive Processes

Cites Work

• Fully Bayesian analysis of ARMA time series models
• Modeling Multiple Times Series with Applications
• Bayesian Identification of Seasonal Autoregressive Models
• A new look at the statistical model identification
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