ARMA models

Approximate Bayesian computational methods on-line

October 25, 2011 | xi'an

Fig. 4 – Boxplots of the evolution [against ε] of ABC approximations to the Bayes factor. The representation is made in terms of frequencies of visits to [accepted proposals from] models MA(1) and MA(2) during an ABC simulation when ε corresponds to the 10,1,.1,.01% quantiles on the simulated autocovariance distances. The data is a time [...] [Read more...]

Time series

March 28, 2011 | xi'an

(This post got published on The Statistics Forum yesterday.) The short book review section of the International Statistical Review sent me Raquel Prado’s and Mike West’s book, Time Series (Modeling, Computation, and Inference) to review. The current post is not about this specific book, but rather on why ... [Read more...]

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