A Bayesian Analysis of Spectral ARMA Model

A Bayesian Analysis of Spectral ARMA Model

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...

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Main Authors: Manoel I. Silvestre Bezerra, Fernando Antonio Moala, Yuzo Iano
Format: Article
Language:English
Published: Hindawi Limited 2012-01-01
Series:Mathematical Problems in Engineering
Online Access:http://dx.doi.org/10.1155/2012/565894
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spelling doaj-98ff96a1f6fc4ed683fc338bb40247432020-11-24T22:58:54ZengHindawi LimitedMathematical Problems in Engineering1024-123X1563-51472012-01-01201210.1155/2012/565894565894A Bayesian Analysis of Spectral ARMA ModelManoel I. Silvestre Bezerra0Fernando Antonio Moala1Yuzo Iano2DEST, FCT, Unesp, Presidente Prudente 19060-900, SP, BrazilDEST, FCT, Unesp, Presidente Prudente 19060-900, SP, BrazilDECOM, FEEC, Unicamp, Campinas 13083-852, SP, BrazilBezerra 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.http://dx.doi.org/10.1155/2012/565894
collection DOAJ
language English
format Article
sources DOAJ
author Manoel I. Silvestre Bezerra
Fernando Antonio Moala
Yuzo Iano
spellingShingle Manoel I. Silvestre Bezerra
Fernando Antonio Moala
Yuzo Iano
A Bayesian Analysis of Spectral ARMA Model
Mathematical Problems in Engineering
author_facet Manoel I. Silvestre Bezerra
Fernando Antonio Moala
Yuzo Iano
author_sort Manoel I. Silvestre Bezerra
title A Bayesian Analysis of Spectral ARMA Model
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 bayesian analysis of spectral arma model
publisher Hindawi Limited
series Mathematical Problems in Engineering
issn 1024-123X
1563-5147
publishDate 2012-01-01
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 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.
url http://dx.doi.org/10.1155/2012/565894
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AT fernandoantoniomoala bayesiananalysisofspectralarmamodel
AT yuzoiano bayesiananalysisofspectralarmamodel
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