BAYESIAN ANALYSIS OF AUTOREGRESSIVE TIME SERIES VIA THE GIBBS SAMPLER

Robert E. McCulloch and Ruey S. Tsay

Journal of Time Series Analysis, 1994, vol. 15, issue 2, 235-250

Abstract: Abstract. Applications of the Gibbs Sampler in time series analysis are considered. We show that the sampler applies nicely to various problems in analyzing autoregressive processes and, in many cases, it enjoys certain advantages over the traditional methods. The problems considered include random level‐shift models, outliers and missing values. Real examples are used to illustrate the analysis.

Date: 1994
References: Add references at CitEc
Citations: View citations in EconPapers (32)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1994.tb00188.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:15:y:1994:i:2:p:235-250

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().