Bayes Arma Model Determination: Some Empirical Evidence

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Abstract

In this paper the operational characteristics of a Bayesian procedure for autoregressive moving‐average model determination are considered. Finite sample bias is considered and the consequences of employing a data taper investigated.

Original languageEnglish
Pages (from-to)334-347
Number of pages14
JournalAustralian Journal of Statistics
Volume29
Issue number3
DOIs
Publication statusPublished - 1 Jan 1987
Externally publishedYes

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