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Method evidence record

Bayesian ARMA model

The Bayesian ARMA model applies Bayesian inference to the classical autoregressive moving average framework for stationary univariate time series. Rather than producing single point estimates for the AR and MA parameters, it yields full posterior distributions, naturally incorporating prior knowledge and providing coherent uncertainty quantification over forecasts and impulse responses.

Evidence statusSources recorded, not reviewedBibliographic sources are present. Claim-level evidence review has not been performed.

Source record

Recorded

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Bayesian Autoregressive Moving Average Model

Taxonomic method recordregression-modeleconometrics

  1. Geweke, J., & Meese, R. (1981). Estimating regression models of finite but unknown order. International Economic Review, 22(1), 55–70. · URL

  2. Box, G. E. P., Jenkins, G. M., Reinsel, G. C., & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. · ISBN 978-1118675021

Open full method2 recorded citations, copied from the method source record.

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Related methods

Suggested6

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