Hierarchical Bayesian Choice of Laplacian ARMA Models Based on Reversible Jump MCMC Computation

An autoregressive moving average (ARMA) is a time series model that is applied in everyday life for pattern recognition and forecasting. The ARMA model contains a noise which is assumed to have a specific distribution. The noise is often considered to have a Gaussian distribution. However in applica...

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Bibliographic Details
Main Author: Suparman
Format: Article
Language:English
Published: Atlantis Press 2020-03-01
Series:International Journal of Computational Intelligence Systems
Subjects:
Online Access:https://www.atlantis-press.com/article/125936713/view