Bayesian modeling and forecasting of vector autoregressive moving average processes

DOI10.1080/03610926.2021.1980047OpenAlexW3203403441MaRDI QIDQ6107552

Samir Moustafa Shaarawy

Publication date: 3 July 2023

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

Full work available at URL: https://doi.org/10.1080/03610926.2021.1980047

zbMATH Keywords

identificationestimationforecastingdiagnostic checkingVARMA processesmatrix \(t\)-distribution

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Bayesian analysis of autoregressive moving average processes with unknown orders
• Bayes inference in regression models with ARMA\((p,q)\) errors
• Business cycle analysis without much theory: A look at structural VARs
• Fully Bayesian analysis of ARMA time series models
• The exact likelihood function of multivariate autoregressive-moving average models
• Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
• Modeling Multiple Times Series with Applications
• A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
• Bayesian Identification of Seasonal Multivariate Autoregressive Processes
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Bayesian Identification of Moving Average Models
• Bayesian Identification of Multivariate Autoregressive Processes
• An algorithm for the exact likelihood of a stationary vector autoregressive‐moving average model
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