المقدر التقريبي لمعلمات أنموذج VMA (1) غير الطبيعي
Other Title(s)
Approximate estimator for parameters of non-normal VMA(1) model
Joint Authors
وصفي طاهر صالح
الطالب، محاسن صالح
هيفاء عبد الجواد سعيد
Source
المجلة العراقية للعلوم الإحصائية
Issue
Vol. 16, Issue 30 (31 Dec. 2019), pp.1-24, 24 p.
Publisher
University of Mosul College of Computer Science and Mathematics
Publication Date
2019-12-31
Country of Publication
Iraq
No. of Pages
24
Main Subjects
Abstract EN
In many applications of time series , the white noise does not follow the normal distribution but follows one of the heavy tailed distributions.
When using normal models in estimation and forecasting, these phenomena they will produce far from reality and inefficient estimators and predictions.
The generalized multivariate modified Bessel distribution belongs to the potentially heavy-tailed distribution family and has wide applications in events that change over time.
On this basis, this paper concerned with the study of vector moving average model of the first order (VMA(1)), is the white noise error term of this model follows GMMB.
The non linear VMA(1) model was approximated to a linear model.
The parameters of approximated model was estimated by Bayesian technique when non-informative priors.
We supposed that some parameters of the distribution (λ, φ, υ) known.
Different loss functions has been used in Bayesian analysis, We proposed two positive weight functions in weighted balanced loss functions .
Some of theoretical results were applied on empirical sample generated from VMA(1) model.
It is concluded that the estimators under proposed weighted balanced loss functions are better.
American Psychological Association (APA)
الطالب، محاسن صالح وهيفاء عبد الجواد سعيد ووصفي طاهر صالح. 2019. المقدر التقريبي لمعلمات أنموذج VMA (1) غير الطبيعي. المجلة العراقية للعلوم الإحصائية،مج. 16، ع. 30، ص ص. 1-24.
https://search.emarefa.net/detail/BIM-932281
Modern Language Association (MLA)
الطالب، محاسن صالح....[و آخرون]. المقدر التقريبي لمعلمات أنموذج VMA (1) غير الطبيعي. المجلة العراقية للعلوم الإحصائية مج. 16، ع. 30 (2019)، ص ص. 1-24.
https://search.emarefa.net/detail/BIM-932281
American Medical Association (AMA)
الطالب، محاسن صالح وهيفاء عبد الجواد سعيد ووصفي طاهر صالح. المقدر التقريبي لمعلمات أنموذج VMA (1) غير الطبيعي. المجلة العراقية للعلوم الإحصائية. 2019. مج. 16، ع. 30، ص ص. 1-24.
https://search.emarefa.net/detail/BIM-932281
Data Type
Journal Articles
Language
Arabic
Notes
يتضمن مراجع ببليوجرافية : ص. 23-24
Record ID
BIM-932281