<abstract xmlns="http://www.w3.org/1999/xhtml"><p>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.</p></abstract>

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.

Bayesian Estimate of Parameters for ARMA Model Forecasting

Department of Mathematics, Faculty of Mathematics and Natural Sciences

Tatra Mountains Mathematical Publications

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

{"article-title":"Bayesian Estimate of Parameters for ARMA Model Forecasting"}

This paper presents a Bayesian approach to finding the Bayes estimator of parameters for ARMA model forecasting under normal-gamma prior assumption with a...

Bayesian Estimate of Parameters for ARMA Model Forecasting

Publicado en línea: 24 abr 2020

Páginas: 23 - 32

Recibido: 07 jul 2018

DOI: https://doi.org/10.2478/tmmp-2020-0002

Palabras clave
ARMA model, Bayes estimator, normal-gamma prior, quadratic loss function

© 2020 Zul Amry, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Bayesian Estimate of Parameters for ARMA Model Forecasting

Publicado en línea: 24 abr 2020

Páginas: 23 - 32

Recibido: 07 jul 2018

DOI: https://doi.org/10.2478/tmmp-2020-0002

Palabras claveARMA model, Bayes estimator, normal-gamma prior, quadratic loss function

© 2020 Zul Amry, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Palabras clave
ARMA model, Bayes estimator, normal-gamma prior, quadratic loss function