BAYES ESTIMATION FOR ARMA MODEL FORECASTING UNDER NORMAL-GAMMAR PRIOR
| Main Authors: | Amry, Zul, Baharum, Adam |
|---|---|
| Format: | Proceeding PeerReviewed Book |
| Bahasa: | ind |
| Terbitan: |
, 2015
|
| Subjects: | |
| Online Access: |
http://digilib.unimed.ac.id/20450/2/Fulltext.pdf http://digilib.unimed.ac.id/20450/3/Reviewer.pdf http://digilib.unimed.ac.id/20450/ |
Daftar Isi:
- This paper presents a Bayesian approach to find the Bayes estimator for the point forecast and forecast variance of ARMA model under normal-gamma prior assumption with quadratic loss function in the form mathematical expression. The conditional posterior predictive density be obtained based the posterior under normal-gamma prior and the conditional predictive density' whereas the marginal conditional posterior predictive density be obtain-ed based the conditional posterior predictive density. Furthermore, neither the point forecast nor the forecast variance are both derived from the marginal conditional posterior predictive density.