| Title:
|
On the Bayes approach in general multiple autoregressive series (English) |
| Author:
|
Anděl, Jiří |
| Language:
|
English |
| Journal:
|
Aplikace matematiky |
| ISSN:
|
0373-6725 |
| Volume:
|
18 |
| Issue:
|
1 |
| Year:
|
1973 |
| Pages:
|
18-29 |
| Summary lang:
|
English |
| Summary lang:
|
Czech |
| . |
| Category:
|
math |
| . |
| Summary:
|
The Bayes theory of multiple autoregressive series is derived in the paper. The point estimates for unknown autoregressive parameters are given. The posterior distributions are derived and used for testing hypotheses. The theory is applied to the model with exogenous and endogenous variables. () |
| MSC:
|
62F15 |
| MSC:
|
62H10 |
| MSC:
|
62M10 |
| idZBL:
|
Zbl 0254.62056 |
| idMR:
|
MR0312642 |
| DOI:
|
10.21136/AM.1973.103444 |
| . |
| Date available:
|
2008-05-20T17:55:00Z |
| Last updated:
|
2020-07-28 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/103444 |
| . |
| Reference:
|
[1] J. Anděl: The Bayes approach in multiple autoregressive series.Aplikace matematiky 16 (1971), 220-228. MR 0290498 |
| Reference:
|
[2] T. W. Anderson: An introduction to multivariate statistical analysis.Wiley, New York 1958. Zbl 0083.14601, MR 0091588 |
| Reference:
|
[3] D. G. Champernowne: Sampling theory applied to autoregressive sequences.J. Roy. Stat. Soc. ser. B, 10 (1948), 204-231. Zbl 0033.08101, MR 0030178 |
| Reference:
|
[4] H. Cramér: Mathematical methods of statistics.Princeton Univ. Press 1946. MR 0016588 |
| Reference:
|
[5] J. Hájek J. Anděl: Stacionární procesy.(Lecture notes.) SPN 1969. |
| Reference:
|
[6] M. H. Quenouille: The analysis of multiple time-series.Griffin, London 1957. MR 0093092 |
| Reference:
|
[7] C. R. Rao: Linear statistical inference and its applications.Wiley, New York 1965. Zbl 0137.36203, MR 0221616 |
| . |
