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Reparametrization Aspects Of Numerical Bayesian Methodology For Autoregressive Moving‐Average Models

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  • J. M. Marriott
  • A. F. M. Smith

Abstract

. Within the context of likelihood and Bayes approaches to inference in autoregressive moving‐average (ARMA) time series models, previous ideas on parameter transformation and numerical integration for implementing Bayesian procedures are reviewed. Some novel transformation ideas are introduced and their role in an efficient numerical integration approach is examined. Some comparisons of the effectivesness of different numerical integration strategies are made.

Suggested Citation

  • J. M. Marriott & A. F. M. Smith, 1992. "Reparametrization Aspects Of Numerical Bayesian Methodology For Autoregressive Moving‐Average Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 13(4), pages 327-343, July.
    • Handle: RePEc:bla:jtsera:v:13:y:1992:i:4:p:327-343
    DOI: 10.1111/j.1467-9892.1992.tb00111.x
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