计算时间序列的GARMA模型中的顺序选择:贝叶斯的视角
Katerine Zuniga Lastra1, Guilherme Pumi1, Taiane Schaedler Prass1
1Instituto de Matemática e Estatística and Programa de Pós-Graduação em Estatística, Universidade Federal do Rio Grande do Sul, Porto Alegre, Brazil.
这项研究引入了贝叶斯的方法来选择在一般自回归移动平均 (GARMA) 模型中计数时间序列的顺序选择. 与传统的信息标准相比,可逆跳马尔科夫链蒙特卡洛方法可以改善模型识别.
科学领域:
- 统计 统计 统计 统计
- 时间序列分析时间序列分析
- 计量经济学 计量经济学 计量经济学
背景情况:
- 通用自回归移动平均线 (GARMA) 模型的传统估计依赖于频率主义方法.
- 对于GARMA模型估计的贝叶斯式方法的探索较少,尽管它们对点估计有希望.
- 在计数时间序列GARMA模型中常用于模型选择的信息标准,在模拟中表现不佳.
研究的目的:
- 为了研究在GARMA模型中计数时间序列的顺序选择的贝叶斯估计.
- 解决在准确识别GARMA模型时信息标准的局限性.
- 提出和评估一个新的贝叶斯方法,使用可逆跳转马尔科夫链蒙特卡洛 (RJMCMC).
主要方法:
- 这项研究采用贝叶斯的观点来选择GARMA模型中的顺序.
- 可逆跳转马尔科夫链蒙特卡洛 (RJMCMC) 用于贝叶斯估计.
- 蒙特卡洛模拟研究是为了评估有限样本的性能,包括点和间隔推理.
主要成果:
- 建议的贝叶斯式RJMCMC方法证明了对GARMA模型的满意点估计.
- 模拟研究评估推断,灵敏度,燃烧,稀释和先前的选择.
- 该方法的有效性通过巴西汽车生产和公共汽车出口的现实应用来展示.
结论:
- 贝叶斯的RJMCMC方法为计算时间序列的GARMA模型中的顺序选择提供了一个可行的替代方案.
- 与传统的信息标准相比,这种方法提供了改进的模型识别.
- 贝叶斯方法的灵活性和能力通过实际数据应用来突出.
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