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Bayesian estimate of parameters for ARMA model forecasting: Applied Mathematics ´19

In: Tatra Mountains Mathematical Publications, vol. 75, no. 1
Zul Amry
Detaily:
Rok, strany: 2020, 23 - 32
Jazyk: eng
Kľúčové slová:
ARMA model, Bayes estimator, normal-gamma prior, quadratic loss function.
Typ článku: Applied Mathematics
Typ dokumentu: Scientific paper
O článku:
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.
Ako citovať:
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
O vydaní:
Vydavateľ: Mathematical Institute, Slovak Academy of Sciences, Bratislava
Publikované: 2. 4. 2020
Verejná licencia:
Licensed under the Creative Commons Attribution-NC-ND4.0 International Public License.