Please use this identifier to cite or link to this item: http://repositorio.unicamp.br/jspui/handle/REPOSIP/52726
Type: Artigo de periódico
Title: A Bayesian Analysis of Spectral ARMA Model
Author: Bezerra, MIS
Moala, FA
Iano, Y
Abstract: 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 MarkovMonte 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.
Country: EUA
Editor: Hindawi Publishing Corporation
Rights: aberto
Identifier DOI: 10.1155/2012/565894
Date Issue: 2012
Appears in Collections:Artigos e Materiais de Revistas Científicas - Unicamp

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