Article ID: | iaor19992169 |
Country: | Netherlands |
Volume: | 105 |
Issue: | 1 |
Start Page Number: | 113 |
End Page Number: | 117 |
Publication Date: | Feb 1998 |
Journal: | European Journal of Operational Research |
Authors: | Moen David H., Salazar Diego |
Keywords: | Bayesian forecasting, ARIMA processes |
Several first-order autoregressive processes are studied using Bayesian analysis principles. These autoregressive processes are the same, except perhaps for the level of the process. A test is developed to detect possible level differences by using the mean value functions of these first-order autoregressive processes. To illustrate the test results, a numerical study is conducted using two time series groups.