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A Bayesian Analysis of Spectral ARMA Model
Joint Authors
Bezerra, Manoel I. Silvestre
Moala, Fernando Antonio
Iano, Yuzo
Source
Mathematical Problems in Engineering
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-15, 15 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-07-05
Country of Publication
Egypt
No. of Pages
15
Main Subjects
Abstract EN
Bezerra et al.
(2008) proposed a new method, based on Yule-Walker equations, to estimate the ARMA spectral model.
In this paper, a Bayesian approach is developed for this model by using the noninformative prior proposed by Jeffreys (1967).
The Bayesian computations, simulation via Markov Monte Carlo (MCMC) is carried out and characteristics of marginal posterior distributions such as Bayes estimator and confidence interval for the parameters of the ARMA model are derived.
Both methods are also compared with the traditional least squares and maximum likelihood approaches and a numerical illustration with two examples of the ARMA model is presented to evaluate the performance of the procedures.
American Psychological Association (APA)
Bezerra, Manoel I. Silvestre& Moala, Fernando Antonio& Iano, Yuzo. 2012. A Bayesian Analysis of Spectral ARMA Model. Mathematical Problems in Engineering،Vol. 2012, no. 2012, pp.1-15.
https://search.emarefa.net/detail/BIM-1001695
Modern Language Association (MLA)
Bezerra, Manoel I. Silvestre…[et al.]. A Bayesian Analysis of Spectral ARMA Model. Mathematical Problems in Engineering No. 2012 (2012), pp.1-15.
https://search.emarefa.net/detail/BIM-1001695
American Medical Association (AMA)
Bezerra, Manoel I. Silvestre& Moala, Fernando Antonio& Iano, Yuzo. A Bayesian Analysis of Spectral ARMA Model. Mathematical Problems in Engineering. 2012. Vol. 2012, no. 2012, pp.1-15.
https://search.emarefa.net/detail/BIM-1001695
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1001695