ARMAGIBBS—Bayesian analysis of an ARMA Model

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TomDoan
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Joined: Wed Nov 01, 2006 4:36 pm

ARMAGIBBS—Bayesian analysis of an ARMA Model

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ARMAGIBBS.RPF estimates an ARMA model using independence chain Metropolis, drawing proposals from the asymptotic distribution for the maximum likelihood estimates. These are truncated at the invertibility boundaries.

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quarterly.xls
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Last bumped by TomDoan on Sun Apr 14, 2024 9:02 am.
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