Bayesian Transformed GARMA Models
| Autor: | Andrade, Breno S., Andrade, Marinho G., Ehlers, Ricardo S. |
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| Rok vydání: | 2016 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | Transformed Generalized Autoregressive Moving Average (TGARMA) models were recently proposed to deal with non-additivity, non-normality and heteroscedasticity in real time series data. In this paper, a Bayesian approach is proposed for TGARMA models, thus extending the original model. We conducted a simulation study to investigate the performance of Bayesian estimation and Bayesian model selection criteria. In addition, a real dataset was analysed using the proposed approach. |
| Databáze: | arXiv |
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