DEFAULT BAYESIAN INFERENCE OF REGRESSION MODELS WITH ARMA ERRORS UNDER EXACT FULL LIKELIHOODS

  • 발행 : 2004.06.01

초록

Under the assumption of default priors, such as noninformative priors, Bayesian model determination and parameter estimation of regression models with stationary and invertible ARMA errors are developed under exact full likelihoods. The default Bayes factors, the fractional Bayes factor (FBF) of O'Hagan (1995) and the arithmetic intrinsic Bayes factors (AIBF) of Berger and Pericchi (1996a), are used as tools for the selection of the Bayesian model. Bayesian estimates are obtained by running the Metropolis-Hastings subchain in the Gibbs sampler. Finally, the results of numerical studies, designed to check the performance of the theoretical results discussed here, are presented.

키워드

참고문헌

  1. Journal of Multivariate Analysis v.3 On the parametrization of autoregressive models by partial autocorrelations BARNDORF-NIELSEN,O.;SCHOU,G. https://doi.org/10.1016/0047-259X(73)90030-4
  2. Bayesian Statistics Ⅳ On the development of reference priors BERGER,J.O.;BERNARDO,J.M.;J.M.Bernardo(ed.);M.H.DeGroat(ed.);D.V.Lindley(ed.);A.F.M.Smith(ed,)
  3. Journal of the American Statistical Association v.94 Default bayes factors for nonested hypothesis testing BERGER,J.O.;MORTERA,J. https://doi.org/10.2307/2670175
  4. Journal of the American Statistical Association v.91 The intrinsic Bayes factor for model selection and prediction BERGER,J.O.;PERICCHI,L.R.
  5. Bayesian Statistics ⅴ The intrinsi Bayes factor for linear models BERGER,J.O.;PERICCHI,L.R.;J.M.Bernardo(ed.);M.H.DeGroat(ed.);D.V.Lindley(ed.);A.F.M.Smith(ed.)
  6. Journal of Econometrics v.64 Bayes inference in regression models with ARMA(p,q) errors CHIB,S.;GREENBERG,E. https://doi.org/10.1016/0304-4076(94)90063-9
  7. Applied Statistics v.36 Randomly chooshing parameters from the stationarity and invertibility region of autoregressive moving average models JONES,M.C. https://doi.org/10.2307/2347544
  8. Journal of Econometrics v.63 The covariance matrix of ARMA errors in closed form LEEUW,J. https://doi.org/10.1016/0304-4076(94)90032-9
  9. Bayesian Statistics and Econometrics : Essays In Honor of Arnold Zellner Bayesian analysis of ARMA proesses : Complete samling based inference under exact likelihoods MARRIOTT,J.;RAVISHANKER,N.;GELFAND,A.;PAI,J.;D.Berry(ed,);K.Chaloner(ed.);J.Geweke(ed.)
  10. Journal of Econometrics v.21 Fully Bayesian analysis of ARMA time series models MONAHAN,J.F. https://doi.org/10.1016/0304-4076(83)90048-9
  11. Biometrika v.71 A Note on enforcing stationarity in autoregressive-moving average models MONAHAN,J.F. https://doi.org/10.1093/biomet/71.2.403
  12. Journal of the Royal Statistical Society v.B57 Fractional Bayes factors for model comparison O'HAGAN,A.
  13. Journal of Time Series Analysis v.3 The size of the stationarity and invertibility region of an autoregressive moving average process PICCOLO,D. https://doi.org/10.1111/j.1467-9892.1982.tb00347.x
  14. SAS/ETS User's Guide(version 6)(2nd ed.) SAS INSTITUTE INC.
  15. An introduction to the Theory of Linear Spaces SHILOV,G.E.
  16. Journal of the Korean Statistical Society v.28 ARMA model identification using the Bayes factor SON,Y.S.
  17. Statistics Toolbox : For Use with MATLAB, User's Guide(Version 3) THE MATH WORKS INC.
  18. Bayesian Statistics ⅴ Intrinsic Bayes Factors for Model Selection with Autoregressive data VARSHAVSKY,J.A.;J.M.Bernardo(ed.);M.H.DeGroat(ed.)D.V.Lindley(ed.);A.F.M.Smith(ed.)