The Bayes approach in multiple autoregressive series

Jiří Anděl

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Displaying similar documents to “The Bayes approach in multiple autoregressive series”

On the Bayes approach in general multiple autoregressive series

Jiří Anděl (1973)

Aplikace matematiky

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Statistical analysis of periodic autoregression

Jiří Anděl (1983)

Aplikace matematiky

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Methods for estimating parameters and testing hypotheses in a periodic autoregression are investigated in the paper. The parameters of the model are supposed to be random variables with a vague prior density. The innovation process can have either constant or periodically changing variances. Theoretical results are demonstrated on two simulated series and on two sets of real data.