Bayesian inferences and forecasts with moving averages processes

Abstract

This paper will develop Bayesian inferential and forecasting techniques which can be used with any moving average process. By employing the conditional likelihood function, at-approximation to the predictive distribution and the marginal posterior distribution of the moving average parameters is developed. Several examples demonstrate posterior and predictive inferences.

Keywords:

• moving average processes
• posterior distribution
• predictive distribution
• t-approximation