Biometrika · 1979 · 612 citations · 4 references
ComputingData ScienceBayesian Data AnalysisStatistical ModelingTime Series AnalysisBayesian InferenceBayesian Model BuildingBayesian ModelingBayesian StatisticsModel FittingParameter EstimationAutoregressive ModelsAutoregressive Time Series ModelsBayesian Autoregressive ModelsBayesian Model SelectionPractical Utility
The proposal of simultaneous use of modified AIC statistics by Bhansali & Downham for the fitting of autoregressive models is reviewed and a Bayesian extension of the minimum AIC procedure is proposed. The practical utility of the procedure is demonstrated by numerical examples.
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