Fully Bayesian analysis of ARMA time series models

In addition to the standard results, the Bayesian approach gives a different method of determining the order of the ARMA model, that is (p, q).

Abstract

Statistical analysis of autoregressive-moving average (ARMA) models is an important non-standard problem. No classical approach is widely accepted; legitimacy for most classical approaches is based solely on asymptotic grounds, while small sample sizes are common. The only obstacle to the Bayesian approach are designing a structure through which prior information can be incorporated and designing a practical computational method. The objective of this work is to overcome these two obstacles. In addition to the standard results, the Bayesian approach gives a different method of determining the order of the ARMA model, that is (p, q).