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Keywords =
Bivariate Autoregressive Processes
Number of Articles:
1
1
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. Using the conditional likelihood function, the proposed technique is based on deriving the exact posterior probability mass function of the model order in a convenient form. Then one may easily eval
Volume 50, Issue 1, June 2006, Page
60-81
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