BAYES ESTIMATION FOR ARMA MODEL FORECASTING UNDER NORMAL-GAMMAR PRIOR

Amry, Zul and Baharum, Adam (2015) BAYES ESTIMATION FOR ARMA MODEL FORECASTING UNDER NORMAL-GAMMAR PRIOR. In: The 3rd International Seminar on Operation Research, 21-23 Aug 2015, Medan.

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Abstract

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.

Item Type: Conference or Workshop Item (Paper)
Keywords: Bayes theorem; Normal-gamma prior; Mathematical expression
Subjects: Q Science > QA Mathematics
Q Science > QA Mathematics > QA299 Analysis
Divisions: Fakultas Matematika dan Ilmu Pengetahuan Alam > Matematika
Depositing User: Mrs Harly Christy Siagian
Date Deposited: 12 Oct 2016 04:19
URI: http://digilib.unimed.ac.id/id/eprint/20450

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