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314466

BTS 1.0: A Computer Package to do a Complete Bayesian Analysis of Autoregressive Processes

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Last updated: 05 Jan 2025

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Abstract

The proposed work intends to assert a menu driven computer package to conduct a complete Bayesian analysis of autoregressive models. The analysis includes the four well known steps of time series analysis, namely, identification, estimation, diagnostic check and prediction. The proposed package conducts the above mentioned four steps using the Bayesian approach in time series analysis. Furthermore, it checks the stationarity of the time series and transforms the non-stationary time series into a stationary one before performing the steps of the analysis. The package depends on a theoretical Bayesian framework published by the authors in well-known journals. The package includes six modules to perform the complete Bayesian analysis for autoregressive models. It is easy to use the package by specialists and non-specialists in modeling and analyzing real data time series that have an evidence to follow an autoregressive process in their behavior.  

DOI

10.21608/esju.2015.314466

Keywords

time series analysis, Bayesian Analysis, Autoregressive Models

Volume

59

Article Issue

2

Related Issue

43136

Issue Date

2015-12-01

Publish Date

2015-12-01

Page Start

213

Page End

236

Print ISSN

0542-1748

Online ISSN

2786-0086

Link

https://esju.journals.ekb.eg/article_314466.html

Detail API

https://esju.journals.ekb.eg/service?article_code=314466

Order

5

Type

Original Article

Type Code

1,914

Publication Type

Journal

Publication Title

The Egyptian Statistical Journal

Publication Link

https://esju.journals.ekb.eg/

MainTitle

BTS 1.0: A Computer Package to do a Complete Bayesian Analysis of Autoregressive Processes

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Article

Created At

28 Dec 2024