Bayesian inferences and forecasts with moving averages processes
- 1 January 1984
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Theory and Methods
- Vol. 13 (15) , 1871-1888
- https://doi.org/10.1080/03610928408828800
Abstract
This paper will develop Bayesian inferential and forecasting techniques which can be used with any moving average process. By employing the conditional likelihood function, at-approximation to the predictive distribution and the marginal posterior distribution of the moving average parameters is developed. Several examples demonstrate posterior and predictive inferences.Keywords
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