Testing Linearity Against Asymmetric Moving Average Models: A Bayesian Approach | ||
The Egyptian Statistical Journal | ||
Article 4, Volume 44, Issue 2, December 2000, Pages 159-170 PDF (5.52 M) | ||
Document Type: Original Article | ||
DOI: 10.21608/esju.2000.313832 | ||
Authors | ||
Mohamed A. Ismail* 1; Ali S. Gargoum2 | ||
1Department of Statistics, UAE University | ||
2Department of Statistics UAE University | ||
Abstract | ||
Bayesian analysis for Asymmetric Moving Average (asMA) models is introduced. Using informative as well as noninformative priors, the posterior density of the model coefficients is approximated by a multivariate t distribution. A direct approach to test the hypothesis of symmetry versus the alternative of asymmetry is developed. Two simulated examples with a real data are presented to illustrate the proposed technique. | ||
Keywords | ||
Asymmetry; Posterior Distribution; Multivariate T; US GNP | ||
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