BAYESIAN MULTIPERIOD FORECASTS FOR ARX MODELS

NCU Institutional Repository > 理學院 > 統計研究所 > 期刊論文 > Item 987654321/27804

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: http://ir.lib.ncu.edu.tw/handle/987654321/27804

题名:	BAYESIAN MULTIPERIOD FORECASTS FOR ARX MODELS
作者:	LIU,SI
贡献者:	統計研究所
关键词:	TIME-SERIES MODELS
日期:	1995
上传时间:	2010-06-29 19:33:59 (UTC+8)
出版者:	中央大學
摘要:	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.
關聯:	ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS
显示于类别:	[統計研究所] 期刊論文

文件中的档案:

档案	描述	大小	格式	浏览次数
index.html		0Kb	HTML	501	检视/开启

在NCUIR中所有的数据项都受到原著作权保护.

社群 sharing