A Bayesian Analysis of Spectral ARMA Model

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dc.contributor.authorSilvestre Bezerra, Manoel I. [UNESP]
dc.contributor.authorMoala, Fernando Antonio [UNESP]
dc.contributor.authorIano, Yuzo
dc.contributor.institutionUniversidade Estadual Paulista (Unesp)
dc.contributor.institutionUniversidade Estadual de Campinas (UNICAMP)
dc.date.accessioned2014-05-20T15:34:12Z
dc.date.available2014-05-20T15:34:12Z
dc.date.issued2012-01-01
dc.description.abstractBezerra 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.en
dc.description.affiliationUNESP, FCT, DEST, BR-19060900 Presidente Prudente, SP, Brazil
dc.description.affiliationUniv Estadual Campinas, FEEC, DECOM, BR-13083852 Campinas, SP, Brazil
dc.description.affiliationUnespUNESP, FCT, DEST, BR-19060900 Presidente Prudente, SP, Brazil
dc.description.sponsorshipCoordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)
dc.description.sponsorshipRH-TVD
dc.description.sponsorshipConselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
dc.description.sponsorshipFaepex/Unicamp
dc.description.sponsorshipFundação para o Desenvolvimento da UNESP (FUNDUNESP)
dc.format.extent15
dc.identifierhttp://dx.doi.org/10.1155/2012/565894
dc.identifier.citationMathematical Problems In Engineering. New York: Hindawi Publishing Corporation, p. 15, 2012.
dc.identifier.doi10.1155/2012/565894
dc.identifier.fileWOS000307666900001.pdf
dc.identifier.issn1024-123X
dc.identifier.lattes1621269552366697
dc.identifier.orcid0000-0002-2445-0407
dc.identifier.urihttp://hdl.handle.net/11449/42454
dc.identifier.wosWOS:000307666900001
dc.language.isoeng
dc.publisherHindawi Publishing Corporation
dc.relation.ispartofMathematical Problems in Engineering
dc.relation.ispartofjcr1.145
dc.rights.accessRightsAcesso aberto
dc.sourceWeb of Science
dc.titleA Bayesian Analysis of Spectral ARMA Modelen
dc.typeArtigo
dcterms.licensehttp://www.hindawi.com/journals/apm/apc/
dcterms.rightsHolderHindawi Publishing Corporation
unesp.author.lattes1621269552366697[2]
unesp.author.orcid0000-0002-2445-0407[2]
unesp.campusUniversidade Estadual Paulista (Unesp), Faculdade de Ciências e Tecnologia, Presidente Prudentept

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Artigos - Estatística - FCT