BAYES ESTIMATION FOR ARMA MODEL FORECASTING UNDER NORMAL-GAMMAR PRIOR

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.