Testing Linearity Against Asymmetric Moving Average Models: A Bayesian Approach | ||||
| The Egyptian Statistical Journal | ||||
| Article 4, Volume 44, Issue 2, December 2000, Page 159-170 | ||||
| Document Type: Original Article | ||||
| DOI: 10.21608/esju.2000.313832 | ||||
 View on SCiNiTO | ||||
| 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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Statistics Article View: 23 |
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