Bayesian Analysis of Vector ARMA Models
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NALINI RAVISHANKER; BONNIE K. RAY
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Article
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1997
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John Wiley and Sons
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English
โ 270 KB
๐ 2 views
We present a methodology for estimation, prediction, and model assessment of vector autoregressive moving-average (VARMA) models in the Bayesian framework using Markov chain Monte Carlo algorithms. The sampling-based Bayesian framework for inference allows for the incorporation of parameter restrict