BAYESIAN SEASONAL ANALYSIS WITH ROBUST PRIORS

Authors

  • Rolando Gonzales Martínez Universidad de Alcalá

Keywords:

Seasonal Analysis, Bayesian Inference, Time Series

Abstract

An analytical Bayesian approach to seasonal analysis is proposed, using robust priors to control for extreme observations. Seasonal fan charts were estimated with Bayesian predictive densities. Empirical applications to U.S. residential electricity consumption, Spain’s tourism and Bolivian’s inflation are presented. The results show that the Bayesian approach allows to investigate probabilistically the seasonal component of a time series, thus accounting for the uncertainty of the seasonal pattern.

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Published

2012-07-31

How to Cite

Gonzales Martínez, R. (2012). BAYESIAN SEASONAL ANALYSIS WITH ROBUST PRIORS. Revista Investigación &Amp; Desarrollo, 1(12). Retrieved from https://www1.upb.edu/revista-investigacion-desarrollo/index.php/id/article/view/52

Issue

Vol. 1 No. 12 (2012)

Section

Economía, Empresa y Sociedad

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