A Bayesian Analysis of Spectral ARMA Model

Detalhes bibliográficos
Autor(a) principal: Silvestre Bezerra, Manoel I. [UNESP]
Data de Publicação: 2012
Outros Autores: Moala, Fernando Antonio [UNESP], Iano, Yuzo
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UNESP
Texto Completo: http://dx.doi.org/10.1155/2012/565894
http://hdl.handle.net/11449/42454
Resumo: 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.
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spelling A Bayesian Analysis of Spectral ARMA ModelBezerra 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.Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)RH-TVDConselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)Faepex/UnicampFundação para o Desenvolvimento da UNESP (FUNDUNESP)UNESP, FCT, DEST, BR-19060900 Presidente Prudente, SP, BrazilUniv Estadual Campinas, FEEC, DECOM, BR-13083852 Campinas, SP, BrazilUNESP, FCT, DEST, BR-19060900 Presidente Prudente, SP, BrazilHindawi Publishing CorporationUniversidade Estadual Paulista (Unesp)Universidade Estadual de Campinas (UNICAMP)Silvestre Bezerra, Manoel I. [UNESP]Moala, Fernando Antonio [UNESP]Iano, Yuzo2014-05-20T15:34:12Z2014-05-20T15:34:12Z2012-01-01info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article15application/pdfhttp://dx.doi.org/10.1155/2012/565894Mathematical Problems In Engineering. New York: Hindawi Publishing Corporation, p. 15, 2012.1024-123Xhttp://hdl.handle.net/11449/4245410.1155/2012/565894WOS:000307666900001WOS000307666900001.pdf16212695523666970000-0002-2445-0407Web of Sciencereponame:Repositório Institucional da UNESPinstname:Universidade Estadual Paulista (UNESP)instacron:UNESPengMathematical Problems in Engineering1.145info:eu-repo/semantics/openAccess2024-06-18T18:18:06Zoai:repositorio.unesp.br:11449/42454Repositório InstitucionalPUBhttp://repositorio.unesp.br/oai/requestopendoar:29462024-08-05T19:29:17.567402Repositório Institucional da UNESP - Universidade Estadual Paulista (UNESP)false
dc.title.none.fl_str_mv A Bayesian Analysis of Spectral ARMA Model
title A Bayesian Analysis of Spectral ARMA Model
spellingShingle A Bayesian Analysis of Spectral ARMA Model
Silvestre Bezerra, Manoel I. [UNESP]
title_short A Bayesian Analysis of Spectral ARMA Model
title_full A Bayesian Analysis of Spectral ARMA Model
title_fullStr A Bayesian Analysis of Spectral ARMA Model
title_full_unstemmed A Bayesian Analysis of Spectral ARMA Model
title_sort A Bayesian Analysis of Spectral ARMA Model
author Silvestre Bezerra, Manoel I. [UNESP]
author_facet Silvestre Bezerra, Manoel I. [UNESP]
Moala, Fernando Antonio [UNESP]
Iano, Yuzo
author_role author
author2 Moala, Fernando Antonio [UNESP]
Iano, Yuzo
author2_role author
author
dc.contributor.none.fl_str_mv Universidade Estadual Paulista (Unesp)
Universidade Estadual de Campinas (UNICAMP)
dc.contributor.author.fl_str_mv Silvestre Bezerra, Manoel I. [UNESP]
Moala, Fernando Antonio [UNESP]
Iano, Yuzo
description 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.
publishDate 2012
dc.date.none.fl_str_mv 2012-01-01
2014-05-20T15:34:12Z
2014-05-20T15:34:12Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://dx.doi.org/10.1155/2012/565894
Mathematical Problems In Engineering. New York: Hindawi Publishing Corporation, p. 15, 2012.
1024-123X
http://hdl.handle.net/11449/42454
10.1155/2012/565894
WOS:000307666900001
WOS000307666900001.pdf
1621269552366697
0000-0002-2445-0407
url http://dx.doi.org/10.1155/2012/565894
http://hdl.handle.net/11449/42454
identifier_str_mv Mathematical Problems In Engineering. New York: Hindawi Publishing Corporation, p. 15, 2012.
1024-123X
10.1155/2012/565894
WOS:000307666900001
WOS000307666900001.pdf
1621269552366697
0000-0002-2445-0407
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Mathematical Problems in Engineering
1.145
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 15
application/pdf
dc.publisher.none.fl_str_mv Hindawi Publishing Corporation
publisher.none.fl_str_mv Hindawi Publishing Corporation
dc.source.none.fl_str_mv Web of Science
reponame:Repositório Institucional da UNESP
instname:Universidade Estadual Paulista (UNESP)
instacron:UNESP
instname_str Universidade Estadual Paulista (UNESP)
instacron_str UNESP
institution UNESP
reponame_str Repositório Institucional da UNESP
collection Repositório Institucional da UNESP
repository.name.fl_str_mv Repositório Institucional da UNESP - Universidade Estadual Paulista (UNESP)
repository.mail.fl_str_mv
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