An effectiveness study of the Bayesian inference with multivariate autoregressive moving average processes

DOI10.1080/03610918.2021.1967986OpenAlexW3196682367MaRDI QIDQ6141692

Sherif S. Ali, Mohammed Albassam, Emad E. A. Soliman

Publication date: 23 January 2024

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2021.1967986

zbMATH Keywords

estimationJeffreys' priorBayesian inferencematrix \(t\) distributionmatrix normal-Wishart priormultivariate autoregressive moving average processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probability distributions: general theory (60E05)

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