A Bayes algorithm for model compatibility and comparison of ARMA(p;q) models - Kumar Tripathi, Praveen; Sen, Rijji; Upadhyay, S. K (Statistics in transition : journal of the Polish Statistical Association, 2021)
Keywords: Algorithms; Information management; Methodology and research technology; National Economy; India; ARMA model; Gibbs sampler; Metropolis algorithm; model compatibility; GDP growth rate; exact likelihood; posterior predictive loss; LjungBoxPierce statistic