Gibbs sampling for SARMA models

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 uses values generated 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
In Proceedings of Information and Decision Support Center-Working Paper Series
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