Bayesian Prediction of Moving Average Processes Using Different Types of Priors | ||
| The Egyptian Statistical Journal | ||
| Article 3, Volume 62, Issue 1, June 2018, Pages 35-57 PDF (4.76 M) | ||
| Document Type: Original Article | ||
| DOI: 10.21608/esju.2018.244260 | ||
| Authors | ||
| Samir Shaarawy; Emad Soliman; Heba E.A. Shahin | ||
| Abstract | ||
| The current article approaches the Bayesian prediction of moving average processes using three well-known priors: g prior, natural conjugate (NC) prior, and Jeffreys' prior. The main goal of the study is to derive approximate one step-ahead predictive densities for moving average (MA) processes using each of the above-mentioned priors. However, the basic contribution is the derivation of the predictive density based upon the g prior. Investigating the performance of the three one step-ahead predictive densities is performed via comprehensive simulation studies using MA(1) and MA(2) processes for illustration. The simulation results show the equivalence of the performance of the three one step-ahead predictive densities based on the three considered priors in the forecasting process. | ||
| Keywords | ||
| Forecasting; prediction; three one step-ahead predictive density; moving average Process; g peior; Jeffreys' prior; natural conjugate prior; informative prior; non- informative prior | ||
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