Bayesian analysis of autoregressive moving average processes with unknown orders

Computational Statistics and Data Analysis

Volumn 51, Issue 3, 2006, Pages 1904-1923

  Philippe, Anne ^a  

^a UNIVERSITÉ DE NANTES   (France)

Author keywords

Birth death process; Invertibility; Latent variables; MCMC algorithm; Model selection; Point process; Stationarity

Indexed keywords

ALGORITHMS; COMPUTER SIMULATION; MARKOV PROCESSES; MATHEMATICAL MODELS; MONTE CARLO METHODS; REGRESSION ANALYSIS;

BIRTH-DEATH PROCESS; INVERTIBILITY; LATENT VARIABLES; MCMC ALGORITHMS; MODEL SELECTION; POINT PROCESSES; STATIONARITY;

TIME SERIES ANALYSIS;

EID: 33750725094     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2005.12.005     Document Type: Article

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