Fully Bayesian analysis of ARMA time series models

[1]  E. J. Godolphin A method for testing the order of an autoregressive-moving average process , 1980 .

[2]  A. Zellner,et al.  Analysis of Distributed Lag Models with Application to Consumption Function Estimation , 1970 .

[3]  Chris Chatfield,et al.  Introduction to Statistical Time Series. , 1976 .

[4]  H. Akaike A Bayesian extension of the minimum AIC procedure of autoregressive model fitting , 1979 .

[5]  C. Ansley An algorithm for the exact likelihood of a mixed autoregressive-moving average process , 1979 .

[6]  A. Zellner,et al.  Bayesian analysis of the federal reserve- MIT-Penn model's almon lag consumption function , 1973 .

[7]  John H. Monahan A structured Bayesian approach to Arma time series models: Part I: Distributional results , 1980 .

[8]  H. Akaike A new look at the statistical model identification , 1974 .

[9]  Marcello Pagano,et al.  When is an altoregressive scheme stationary , 1973 .

[10]  G. Box,et al.  Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models , 1970 .

[11]  M. Degroot Optimal Statistical Decisions , 1970 .

[12]  G. Box,et al.  On a measure of lack of fit in time series models , 1978 .

[13]  B. G. Quinn,et al.  The determination of the order of an autoregression , 1979 .

[14]  A. Zellner An Introduction to Bayesian Inference in Econometrics , 1971 .

[15]  George E. P. Box,et al.  Some Comments on “Bayes” Estimators , 1973 .

[16]  Marcello Pagano,et al.  WHEN IS AN AUTOREGRESSIVE SCHEME STATIONARY , 1973 .

[17]  N. Davies,et al.  Significance levels of the Box-Pierce portmanteau statistic in finite samples , 1977 .

[18]  T. W. Anderson,et al.  Statistical analysis of time series , 1972 .

[19]  Debabrata Basu,et al.  On the Elimination of Nuisance Parameters , 1977 .

[20]  W. D. Ray The Foundation of Statistical Inference , 1963 .

[21]  Paul Newbold,et al.  Finite sample properties of estimators for autoregressive moving average models , 1980 .

[22]  Paul Newbold The equivalence of two tests of time series model adequacy , 1980 .

[23]  Paul Newbold,et al.  Some power studies of a portmanteau test of time series model specification , 1979 .