Bayesian inferences for several autoregressive processes

✍ Scribed by Diego Salazar; David H. Moen

• Book ID: 104339492
• Publisher: Elsevier Science
• Year: 1998
• Tongue: English
• Weight: 248 KB
• Volume: 105
• Category: Article
• ISSN: 0377-2217
• DOI: 10.1016/s0377-2217(97)00041-6

✦ Synopsis

Several first-order autoregressive processes are studied using Bayesian analysis principles. These autoregressive processes are the same, except perhaps for the level of the process. A test is developed to detect possible level differences by using the mean value functions of these first-order autoregressive processes. To illustrate the test results, a numerical study is conducted using two time series groups.