عناصر مشابهة
A BAYESIAN APPROACH FOR ESTIMATING AUTOREGRESSIVE MOVING AVERAGE MODELS
المصدر: | مجلة البحوث التجارية |
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الناشر: |
جامعة الزقازيق - كلية التجارة
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المؤلف الرئيسي: | |
المجلد/العدد: | مج30, ع2 |
محكمة: | نعم |
الدولة: | مصر |
التاريخ الميلادي: | 2008 |
الصفحات: | 29 - 51 |
رقم MD: | 665250 |
نوع المحتوى: | بحوث ومقالات |
قواعد المعلومات: | EcoLink |
مواضيع: | |
رابط المحتوى: |
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المستخلص: | A Bayesian method for estimating autoregressive-moving average (ARMA) models is proposed. The proposed methodology is based on replacing lagged errors of the original ARMA model with appropriately lagged residuals from a long auto regression .Bayes estimators have been developed under non-informative and natural conjugate priors. Moreover, the estimation of the parameters for the ARMA representation can be obtained by using a non-Bayesian method, namely the three- stage least squares (3SLS) method. These methods are compared using simulated and real data. A numerical comparison between Bayesian and non-Bayesian will be carried out .It has been seen that the obtained estimators not available in a compact form, although they can be easily evaluated numerically. Moreover, the proposed method (Bayesian procedure) produce estimates with greater precision (smaller MSE) than that for the 3SLS procedure. |
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