A Direct Bayesian Technique to Select the Order of Bivariate autoregressive Processes

Model Identification step plays an important and difficult part in time series analysis because the other steps of analysis depend on it and its accuracy. This article proposes an exact direct Bayesian technique to identify the order of bivariate autoregressive processes using Jeffreys' vague prior....

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Autors principals:	Sherif Ali, Samir Shaarawy, Mohammad Albassam
Format:	Artigo
Idioma:	Inglês
Publicat:	Cairo University, Faculty of Graduate Studies for Statistical Research (FGSSR) 2006-06-01
Col·lecció:	The Egyptian Statistical Journal
Matèries:	Identification Bivariate Autoregressive Processes Conditional Likelihood Function Probability Mass Function Jeffreys' Prior
Accés en línia:	https://esju.journals.ekb.eg/article_313454_429b2b36f6ff548b5aa5e7fb4c2e0592.pdf
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