BAYESIAN SEASONAL ANALYSIS WITH ROBUST PRIORS

Autores/as

  • Rolando Gonzales Martínez Universidad de Alcalá

Palabras clave:

Seasonal Analysis, Bayesian Inference, Time Series

Resumen

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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Referencias

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Publicado

31-07-2012

Cómo citar

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

Número

Vol. 1 Núm. 12 (2012)

Sección

Economía, Empresa y Sociedad

Licencia

Reconocimiento-NoComercial-CompartirIgual
CC BY-NC-SA

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