BAYESIAN MULTIPERIOD FORECASTS FOR ARX MODELS

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/27804

Title:	BAYESIAN MULTIPERIOD FORECASTS FOR ARX MODELS
Authors:	LIU,SI
Contributors:	統計研究所
Keywords:	TIME-SERIES MODELS
Date:	1995
Issue Date:	2010-06-29 19:33:59 (UTC+8)
Publisher:	中央大學
Abstract:	Bayesian multiperiod forecasts for AR models with random independent exogenous variables under normal-gamma and normal-inverted Wishart prior assumptions are investigated. By suitably arranging the integration order of the model's parameters, a t-density mixture approximation is analytically derived to provide an estimator of the posterior predictive density for any future observation. In particular, a suitable t-density is proposed by a convenient closed form. The precision of the discussed methods is examined by using some simulated data and one set of real data up to lead-six-ahead forecasts. It is found that the numerical results of the discussed methods are rather close. In particular, when sample sizes are sufficiently large, it is encouraging to apply a convenient t-density in practical usage. In fact, this t-density estimator asymptotically converges to the true density.
Relation:	ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS
Appears in Collections:	[Graduate Institute of Statistics] journal & Dissertation

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