On the posterior odds of time series models

D. S. Poskitt, A. R. Tremayne

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14 Citations (Scopus)


This paper is concerned with model selection in time series analysis. A Bayesian approach is adopted to investigate various decision criteria previously advocated. The discussion is conducted in the context of a class of nonlinear time series models of sufficient generality to encompass a wide range of processes currently of interest.

Original languageEnglish
Pages (from-to)157-162
Number of pages6
Issue number1
Publication statusPublished - 1 Apr 1983
Externally publishedYes


  • Model selection criteria
  • Nonlinear time series model
  • Posterior odds

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