Bayesian Analysis of Vector ARMA Models using Gibbs Sampling
نویسندگان
چکیده
منابع مشابه
Constrained Forecasts in Arma Models: a Bayesian Approach
A Bayesian approach is developed to generate constrained and unconstrained forecasts in autoregressive-moving average time series models. Both are calculated by formulating the ARMA(p,q) model in such a way that it is possible to numerically compute the predictive distribution for any number of forecasts as in de Alba (1993). We obtain the posterior distribution of the parameters via Gibbs samp...
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