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Biometrika 1983 70(1):157-162; doi:10.1093/biomet/70.1.157
© 1983 by Biometrika Trust
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On the posterior odds of time series models

D. S. POSKITT and A. R. TREMAYNE

Department of Economics and Related Studies, University of York

This paper is concerned with model selection in time series analysis. A Bayesian approach is adopted to investigate various decision criteria previously advocated. The discussion is conducted in the context of a class of nonlinear time series models of sufficient generality to encompass a wide range of processes currently of interest.

Key Words: Model selection criteria • Nonlinear time series model • Posterior odds


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