In: Tatra Mountains Mathematical Publications, vol. 75, no. 1
Zul Amry
Details:
Year, pages: 2020, 23 - 32
Language: eng
Keywords:
ARMA model, Bayes estimator, normal-gamma prior, quadratic loss function.
Article type: Applied Mathematics
Document type: Scientific paper
About article:
This paper presents a Bayesian approach to finding the Bayes estimator of parameters for ARMA model forecasting under normal-gamma prior assumption with a quadratic loss function in mathematical expression. Obtaining the conditional posterior predictive density is based on the normal-gamma prior and the conditional predictive density, whereas its marginal conditional posterior predictive density is obtained using the conditional posterior predictive density. Furthermore, the Bayes estimator of parameters is derived from the marginal conditional posterior predictive density.
How to cite:
ISO 690:
Amry, Z. 2020. Bayesian estimate of parameters for ARMA model forecasting: Applied Mathematics ´19. In Tatra Mountains Mathematical Publications, vol. 75, no.1, pp. 23-32. 1210-3195. DOI: https://doi.org/10.2478/tmmp-2020-0002
APA:
Amry, Z. (2020). Bayesian estimate of parameters for ARMA model forecasting: Applied Mathematics ´19. Tatra Mountains Mathematical Publications, 75(1), 23-32. 1210-3195. DOI: https://doi.org/10.2478/tmmp-2020-0002
About edition:
Publisher: Mathematical Institute, Slovak Academy of Sciences, Bratislava
Published: 2. 4. 2020
Rights:
Licensed under the Creative Commons Attribution-NC-ND4.0 International Public License.