Bayesian GARMA Models for Count Data

29 Sep 2015 · Andrade Marinho G., Ehlers Ricardo S., Andrade Breno S. ·

Generalized autoregressive moving average (GARMA) models are a class of models that was developed for extending the univariate Gaussian ARMA time series model to a flexible observation-driven model for non-Gaussian time series data. This work presents Bayesian approach for GARMA models with Poisson, binomial and negative binomial distributions. A simulation study was carried out to investigate the performance of Bayesian estimation and Bayesian model selection criteria. Also three real datasets were analysed using the Bayesian approach on GARMA models.

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Bayesian GARMA Models for Count Data

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