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Research Article | 13-June-2021

A Bayes algorithm for model compatibility and comparison of ARMA(p,q) models

paper also compares different compatible models through the posterior predictive loss criterion in order to recommend the most appropriate one. For a numerical illustration of the above, data on the Indian gross domestic product growth rate at constant prices are considered. Differencing the data once prior to conducting the analysis ensured their stationarity. Retrospective short-term predictions of the data are provided based on the final recommended model. The considered methodology is expected

Praveen Kumar Tripathi, Rijji Sen, S.K. Upadhyay

Statistics in Transition New Series, Volume 22 , ISSUE 2, 95–123

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