A Bayes algorithm for model compatibility and comparison of ARMA(p,q) models

Praveen Kumar Tripathi (), Rijji Sen () and S.K. Upadhyay ()
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Praveen Kumar Tripathi: Department of Mathematics and Statistics, Banasthali Vidyapith, Rajasthan, India
Rijji Sen: Department of Statistics, Behala College, Calcutta University, India
S.K. Upadhyay: Department of Statistics, Banaras Hindu University, Varanasi, India

Statistics in Transition New Series, 2021, vol. 22, issue 2, 95-123

Abstract: The paper presents a Bayes analysis of an autoregressive-moving average model and its components based on exact likelihood and weak...

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:exl:29stat:v:22:y:2021:i:2:p:95-123

DOI: 10.21307/stattrans-2021-018

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