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Gibbs sampling for sarma models.

Author(s)
Mohamed A. Ismail Department of Statistics, Cairo University, Giza, Egypt
Ayman A. Amin Department of Statistics, Menoufia University, Menoufia, Egypt
Abstract
This paper introduces a fast, easy and accurate Gibbs sampling algorithm to develop a Bayesian inference for a multiplicative seasonal autoregressive moving average (SARMA) model. The proposed algorithm generates from normal and inverse gamma distributions and does not involve any Metropolis-Hastings generation. Simulated examples and a real data set are used to illustrate the proposed algorithm.
Publication Details
Page(s) 153-168
DOI DOI not available
Published Journal: Pakistan Journal of Statistics, Volume: 30, Issue: 2, Year: 2014

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