BAYESIAN INFERENCES AND FORECASTING IN BILINEAR TIME-SERIES MODELS

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题名:	BAYESIAN INFERENCES AND FORECASTING IN BILINEAR TIME-SERIES MODELS
作者:	CHEN,CWS
贡献者:	統計研究所
关键词:	AUTOREGRESSIVE PROCESSES
日期:	1992
上传时间:	2010-06-29 19:34:39 (UTC+8)
出版者:	中央大學
摘要:	In this paper, we propose a Bayesian approach to the analysis of bilinear time series which is an extension of Broemeling and Shaarawy's work (1988) on linear time series. The conjugate prior for parameters is used to derive the predictive distribution and the marginal posterior distribution of the bilinear parameters, by which we make inferences about the parameters and for a future observation. Our results are illustrated using the Wolf sunspot numbers from Box and Jenkins (1976) and are compared with a linear time series.
關聯:	COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
显示于类别:	[統計研究所] 期刊論文

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