Bayesian inferences for several autoregressive processes

Bayesian inferences for several autoregressive processes

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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: ,
Keywords: Bayesian forecasting, ARIMA processes
Abstract:

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.

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