IDEAS home Printed from https://ideas.repec.org/p/wop/agsmst/_001.html

Bayesian Estimation of an Autoregressive Model Using Markov Chain Monte Carlo

Author

Listed:
  • Barnett, G.
  • Kohn, R.
  • Sheather, S.

Abstract

No abstract is available for this item.

Suggested Citation

  • Barnett, G. & Kohn, R. & Sheather, S., "undated". "Bayesian Estimation of an Autoregressive Model Using Markov Chain Monte Carlo," Statistics Working Paper _001, Australian Graduate School of Management.
    • Handle: RePEc:wop:agsmst:_001
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. McCoy, E. J. & Stephens, D. A., 2004. "Bayesian time series analysis of periodic behaviour and spectral structure," International Journal of Forecasting, Elsevier, vol. 20(4), pages 713-730.
    2. Ayman A. Amin & Saeed A. Alghamdi, 2023. "Bayesian Identification Procedure for Triple Seasonal Autoregressive Models," Mathematics, MDPI, vol. 11(18), pages 1-13, September.
    3. Yang, Kai & Yu, Xinyang & Zhang, Qingqing & Dong, Xiaogang, 2022. "On MCMC sampling in self-exciting integer-valued threshold time series models," Computational Statistics & Data Analysis, Elsevier, vol. 169(C).
    4. Philippe, Anne, 2006. "Bayesian analysis of autoregressive moving average processes with unknown orders," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1904-1923, December.
    5. Billio, M. & Monfort, A. & Robert, C. P., 1999. "Bayesian estimation of switching ARMA models," Journal of Econometrics, Elsevier, vol. 93(2), pages 229-255, December.
    6. Guanyu Hu & Ming-Hui Chen & Nalini Ravishanker, 2023. "Bayesian analysis of spherically parameterized dynamic multivariate stochastic volatility models," Computational Statistics, Springer, vol. 38(2), pages 845-869, June.
    7. N. K. Unnikrishnan, 2004. "Bayesian Subset Model Selection for Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 671-690, September.
    8. Martin R. Young & Peter J. Lenk, 1998. "Hierarchical Bayes Methods for Multifactor Model Estimation and Portfolio Selection," Management Science, INFORMS, vol. 44(11-Part-2), pages 111-124, November.
    9. Huerta, Gabriel & Lopes, Hedibert Freitas, 2000. "Bayesian forecasting and inference in latent structure for the Brazilian Industrial Production Index," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 20(1), May.
    10. J. Vermaak & C. Andrieu & A. Doucet & S. J. Godsill, 2004. "Reversible Jump Markov Chain Monte Carlo Strategies for Bayesian Model Selection in Autoregressive Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(6), pages 785-809, November.
    11. Ossama Mikhail & Curtis J. Eberwein & Jagdish Handa, 2003. "Testing and Estimating Persistence in Canadian Unemployment," Econometrics 0311004, University Library of Munich, Germany.
    12. Andrea Cremaschi & Wenjian Yang & Maria Iorio & William E. Evans & Jun J. Yang & Gary L. Rosner, 2025. "Bayesian Modelling of Response to Therapy and Drug-Sensitivity in Acute Lymphoblastic Leukemia," Statistics in Biosciences, Springer;International Chinese Statistical Association, vol. 17(2), pages 479-500, July.
    13. Ayman A. Amin & Walid Emam & Yusra Tashkandy & Christophe Chesneau, 2023. "Bayesian Subset Selection of Seasonal Autoregressive Models," Mathematics, MDPI, vol. 11(13), pages 1-13, June.
    14. M. A. Alkhamisi & Ghazi Shukur, 2005. "Bayesian analysis of a linear mixed model with AR(p) errors via MCMC," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(7), pages 741-755.
    15. Kai Yang & Qingqing Zhang & Xinyang Yu & Xiaogang Dong, 2023. "Bayesian inference for a mixture double autoregressive model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 77(2), pages 188-207, May.
    16. João Henrique Gonçalves Mazzeu & Esther Ruiz & Helena Veiga, 2018. "Uncertainty And Density Forecasts Of Arma Models: Comparison Of Asymptotic, Bayesian, And Bootstrap Procedures," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 388-419, April.
    17. Smith, Michael Stanley, 2015. "Copula modelling of dependence in multivariate time series," International Journal of Forecasting, Elsevier, vol. 31(3), pages 815-833.
    18. Vosseler, Alexander, 2016. "Bayesian model selection for unit root testing with multiple structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 616-630.
    19. Varun Agiwal & Jitendra Kumar, 2020. "Bayesian estimation for threshold autoregressive model with multiple structural breaks," METRON, Springer;Sapienza Università di Roma, vol. 78(3), pages 361-382, December.
    20. Sigrunn Holbek Sørbye & Håvard Rue, 2017. "Penalised Complexity Priors for Stationary Autoregressive Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(6), pages 923-935, November.
    21. Kerry Pattenden, 2006. "Capital Structure Decisions Under Classical and Imputation Tax Systems: A Natural Test for Tax Effects in Australia," Australian Journal of Management, Australian School of Business, vol. 31(1), pages 67-92, June.
    22. Francesco Battaglia & Lia Orfei, 2005. "Outlier Detection And Estimation In NonLinear Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(1), pages 107-121, January.
    23. Baragona, Roberto & Battaglia, Francesco & Calzini, Claudio, 2001. "Genetic algorithms for the identification of additive and innovation outliers in time series," Computational Statistics & Data Analysis, Elsevier, vol. 37(1), pages 1-12, July.
    24. Ayman A. Amin, 2025. "Bayesian modeling and forecasting of seasonal autoregressive models with scale-mixtures of normal errors," Computational Statistics, Springer, vol. 40(7), pages 3453-3475, September.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wop:agsmst:_001. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Thomas Krichel (email available below). General contact details of provider: https://edirc.repec.org/data/gsnswau.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.