Bayesian Prediction of Autoregressive Models Using Different Types of Priors
M.Shaarawy, S., E.A.Soliman, E., E.A.Shahin, H. (2010). Bayesian Prediction of Autoregressive Models Using Different Types of Priors. EKB Journal Management System, 54(2), 108-126. doi: 10.21608/esju.2010.314306
Samir M.Shaarawy; Emad E.A.Soliman; Heba E.A.Shahin. "Bayesian Prediction of Autoregressive Models Using Different Types of Priors". EKB Journal Management System, 54, 2, 2010, 108-126. doi: 10.21608/esju.2010.314306
M.Shaarawy, S., E.A.Soliman, E., E.A.Shahin, H. (2010). 'Bayesian Prediction of Autoregressive Models Using Different Types of Priors', EKB Journal Management System, 54(2), pp. 108-126. doi: 10.21608/esju.2010.314306
M.Shaarawy, S., E.A.Soliman, E., E.A.Shahin, H. Bayesian Prediction of Autoregressive Models Using Different Types of Priors. EKB Journal Management System, 2010; 54(2): 108-126. doi: 10.21608/esju.2010.314306

Bayesian Prediction of Autoregressive Models Using Different Types of Priors

The Egyptian Statistical Journal
Article 4, Volume 54, Issue 2, December 2010, Page 108-126  XML PDF (18.73 MB)
Document Type: Original Article
DOI: 10.21608/esju.2010.314306
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Authors
Samir M.Shaarawy* 1; Emad E.A.Soliman2; Heba E.A.Shahin3
1Department of Mathematical Sciences, Umm El-Qura University, Mekka, Kingdom of Saudi Arabia.
2Department of Statistics, King Abdul Aziz University, Jeddah, Kingdom of Saudi Arabia.
3Researcher Sector, Central Bank of Egypt, Cairo, Egypt.
Abstract
The current study approaches the Bayesian prediction of autoregressive processes using three well-known priors; g-prior, natural conjugate (NC)) prior, and Jeffreys' prior. The main goal of the study is to derive the one step-ahead predictive densities in case of autoregressive (AR) models 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 on step-ahead predictive densities is performed via simulation studies using AR (1) and AR (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; One Step-Ahead Predictive Density; Autoregressive Process; Jeffreys' Prior; Natural Conjugate; Informative Prior; Non informative Prior
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