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Gibbs sampling for SARMA models
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نویسنده
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ismail m.a. ,amin a.a.
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منبع
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pakistan journal of statistics - 2014 - دوره : 30 - شماره : 2 - صفحه:153 -168
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چکیده
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This paper introduces a fast,easy and accurate gibbs sampling algorithm to develop a bayesian inference for a multiplicative seasonal autoregressive moving average (sarma) model. the proposed algorithm generates from normal and inverse gamma distributions and does not involve any metropolis-hastings generation. simulated examples and a real data set are used to illustrate the proposed algorithm. © 2014 pakistan journal of statistics.
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کلیدواژه
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Egyptian Imports of Durable Consumption Goods; Gibbs Sampling; Normal Gamma Prior; Posterior Distribution; Seasonal ARMA model
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آدرس
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department of statistics,cairo university, Egypt, department of statistics,menoufia university, Egypt
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Authors
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