多元自回归模型的Bayes分析方法(为庆贺游兆永教授60寿辰而作)  

The Bayesian Analysis of Vector Autorcssivc Processes

作　　者：樊重俊[1] 张尧庭[2] 

机构地区：[1]西安统计学院 [2]武汉大学

出　　处：《工程数学学报》1991年第2期143-148,共6页Chinese Journal of Engineering Mathematics

摘　　要：本文在条件似然函数意义下,讨论了多元自回归模型的Bayes分析方法。There have been a lot of favourable Baycsian contributions to univariate time series analysis. This paper studies the Bayesian analysis of vector autoregressive processes (BVAR). The posterior distributions of model parameters and the one-step-ahead predictive distribution are given and discussed. The determinations of model order and dimension arc also discussed.

关 键 词：条件似然函数 BVAR模型 

分 类 号：O212.4[理学—概率论与数理统计]