Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Robustness of Bayes forecast to Non-normality

  • Bansal, Ashok K. (Department of Mathematical Statistics, University of Delhi, India)
  • Published : 1978.06.01
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Abstract

Bayesian procedures are in vogue to revise the parameter estimates of the forecasting model in the light of actual time series data. In this paper, we study the Bayes forecast for demand and the risk when (a) 'noise' and (b) mean demand rate in a constant process model have moderately non-normal probability distributions.

Keywords

References

  1. Communication in Statistics, Series A Robustness of Bayes Estimator for the Mean of Normal Population with Non-normal Prior Bansal.A.K.
  2. On Bayesian and Testing of Mean in Non-normal Samples Bansal,A.K.
  3. Biometrika v.39 The Conditions under which Gram-Charlier and Edgeworth Curves Are Positive, Definite and Unimodal Barton,D.E.;Dennis,K.E.
  4. Bayesian Inference in Statistical Analysis Box,G.E.P.;Tiao,G.C.
  5. Jour. Roy. Statist. Soc. v.B 33 Posterior Precision for Non-normal Distributions Finucan,H.M.