BAYES ESTIMATOR ON MULTIPERIOD FORECAST OF ARMA MODEL UNDER NORMAL-GAMMA PRIOR

Amry, Zul (2009) BAYES ESTIMATOR ON MULTIPERIOD FORECAST OF ARMA MODEL UNDER NORMAL-GAMMA PRIOR. In: Konferensi Nasional Pendidikan Matematika III, 23-25 Jul 2009, Medan.

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Abstract

Bayes estimator of parameters on multiperiod forecast for ARMA model under the normal-gamma prior assumption are investigated. By integrating the posterior density can be obtained the marginal posterior density which is needed analytically to provide an estimator via posterior mean of multivariate t-distribution and gamma distribution.

Item Type: Conference or Workshop Item (Paper)
Keywords: Bayes estimator; Multiperiod forecast; Normal-gammar prior
Subjects: Q Science > QA Mathematics
Divisions: Fakultas Matematika dan Ilmu Pengetahuan Alam > Matematika
Depositing User: Mrs Harly Christy Siagian
Date Deposited: 17 Oct 2016 07:47
URI: http://digilib.unimed.ac.id/id/eprint/20604

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