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BAYESIAN ANALYSIS OF AUTOREGRESSIVE TIME SERIES VIA THE GIBBS SAMPLER
Author(s) -
McCulloch Robert E.,
Tsay Ruey S.
Publication year - 1994
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1994.tb00188.x
Subject(s) - autoregressive model , gibbs sampling , mathematics , series (stratigraphy) , outlier , bayesian probability , time series , star model , statistics , econometrics , autoregressive integrated moving average , paleontology , biology
. Applications of the Gibbs Sampler in time series analysis are considered. We show that the sampler applies nicely to various problems in analyzing autoregressive processes and, in many cases, it enjoys certain advantages over the traditional methods. The problems considered include random level‐shift models, outliers and missing values. Real examples are used to illustrate the analysis.