Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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ARMA Model Identification Using the Bayes Factor

  • Published : 1999.12.01
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Abstract

The Bayes factor for the identification of stationary ARM(p,q) models is exactly computed using the Monte Carlo method. As priors are used the uniform prior for (\ulcorner,\ulcorner) in its stationarity-invertibility region, the Jefferys prior and the reference prior that are noninformative improper for ($\mu$,$\sigma$\ulcorner).

Keywords

References

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