Bayesian analysis of vector ARMA models using Gibbs sampling

Journal of Forecasting

Volumn 16, Issue 3, 1997, Pages 177-194

  Ravishanker, Nalini ^a   Ray, Bonnie K ^b  

^a UNIVERSITY OF CONNECTICUT   (United States)

^b NEW JERSEY INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

Gibbs sampling; Parameter selection; Time series analysis; VARMA models

Indexed keywords

EID: 0011615403     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/(sici)1099-131x(199705)16:3<177::aid-for650>3.0.co;2-%23     Document Type: Article

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