A Bayesian analysis of moving average processes with time-varying parameters

Computational Statistics and Data Analysis

Volumn 52, Issue 2, 2007, Pages 1025-1046

  Triantafyllopoulos, K ^a   Nason, G P ^b  

^a UNIVERSITY OF SHEFFIELD   (United Kingdom)

^b UNIVERSITY OF BRISTOL   (United Kingdom)

Author keywords

Bayesian models; Forecasting; LME; Locally stationary processes; London metal exchange; Moving average; Time series; Time varying parameters

Indexed keywords

COMPUTER SIMULATION; GAUSSIAN DISTRIBUTION; MATHEMATICAL MODELS; PARAMETER ESTIMATION; TIME SERIES ANALYSIS;

BAYESIAN MODELS; LOCALLY STATIONARY PROCESSES; MOVING AVERAGE; MOVING AVERAGE PROCESSES; TRUNCATED GAMMA DISTRIBUTIONS;

BAYESIAN NETWORKS;

EID: 35148842052     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2007.04.001     Document Type: Article

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