A Bayesian Analysis of Spectral ARMA Model
Carregando...
Arquivos
Data
2012-01-01
Orientador
Coorientador
Pós-graduação
Curso de graduação
Título da Revista
ISSN da Revista
Título de Volume
Editor
Hindawi Publishing Corporation
Tipo
Artigo
Direito de acesso
Acesso aberto
Resumo
Bezerra et al. (2008) proposed a new method, based on Yule-Walker equations, to estimate the ARMA spectral model. In this paper, a Bayesian approach is developed for this model by using the noninformative prior proposed by Jeffreys (1967). The Bayesian computations, simulation via MarkovMonte Carlo (MCMC) is carried out and characteristics of marginal posterior distributions such as Bayes estimator and confidence interval for the parameters of the ARMA model are derived. Both methods are also compared with the traditional least squares and maximum likelihood approaches and a numerical illustration with two examples of the ARMA model is presented to evaluate the performance of the procedures.
Descrição
Palavras-chave
Idioma
Inglês
Como citar
Mathematical Problems In Engineering. New York: Hindawi Publishing Corporation, p. 15, 2012.