Bayesian Inference for Seasonal ARMA Models
Shaarawy, S., Ismail, M. (1987). Bayesian Inference for Seasonal ARMA Models. EKB Journal Management System, 31(1), 77-103. doi: 10.21608/esju.1987.428903
Samir Shaarawy; Mohamed Ali Ismail. "Bayesian Inference for Seasonal ARMA Models". EKB Journal Management System, 31, 1, 1987, 77-103. doi: 10.21608/esju.1987.428903
Shaarawy, S., Ismail, M. (1987). 'Bayesian Inference for Seasonal ARMA Models', EKB Journal Management System, 31(1), pp. 77-103. doi: 10.21608/esju.1987.428903
Shaarawy, S., Ismail, M. Bayesian Inference for Seasonal ARMA Models. EKB Journal Management System, 1987; 31(1): 77-103. doi: 10.21608/esju.1987.428903

Bayesian Inference for Seasonal ARMA Models

The Egyptian Statistical Journal
Volume 31, Issue 1, June 1987, Page 77-103  XML PDF (16.11 MB)
Document Type: Original Article
DOI: 10.21608/esju.1987.428903
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Authors
Samir Shaarawy; Mohamed Ali Ismail
Cairo University, Egypt
Abstract
An essential ingredient of any time series anatysis is the estimation of the modcl parameters. The main objective of this paper is to develop a convenient Rayesian technique for estimation which can be used to analyze ‘seasonal autoregressive moving average processes. The foundation of the proposed approach is to approximate the conditional likelihood by a normal-gamma distribution on the parameter space; Based on the approximated conditional likelihood function, the marginal posterior distribution of the coefficients of the model is approximated by a t distribu- tion, and the marginal posterior distribution of the model precision is approximated by a gamma distribution. The proposed technique is illustrated by some numerical examples. 
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