An adaptive resampling scheme for cycle estimation
Bayesian dynamic linear models (DLM) are useful in time series modelling because of the flexibility that they present in obtaining a good forecast. They are based on a decomposition of the relevant factors which explain the behavior of the series through a series of state parameters. Nevertheless the DLM as developed in West & Harrison (1997) depend on additional quantities, such as the variance of the system disturbances, which, in practice, are unknown. These are refered as hyperparameters of the model. In this paper, DLM with auto-regressive components are used to describe time series showing cyclic behavior. The marginal posterior distribution for state parameters can be obtained by weighing the conditional distribution of state parameters by the marginal distribution of hyperparameters. In most cases the joint distribution of the hyperparameters can be obtained analytically but the marginal distributions of the components can not, thus requiring numerical integration. We propose to obtain samples of the hyperparameters by a variant of the Sampling Importance Resampling (SIR) method. A few applications are made with simulated and real datasets.
Year of publication: |
2015
|
---|---|
Authors: | Schmidt, Alexandra Mello ; Gamerman, Dani ; Moreira, Ajax Reynaldo Bello |
Publisher: |
BrasÃlia : Institute for Applied Economic Research (ipea) |
Saved in:
freely available
Series: | Discussion Paper ; 78 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 166375568X [GVK] hdl:10419/220167 [Handle] RePEc:ipe:ipetds:0078 [RePEc] |
Source: |
Persistent link: https://www.econbiz.de/10012234091
Saved in favorites
Similar items by person
-
An adaptive resampling scheme for cycle estimation
Schmidt, Alexandra Mello, (1998)
-
An adaptive resampling scheme for cycle estimation
Schmidt, Alexandra Mello, (2015)
-
Temporal aggregation in dynamic linear models
Schmidt, Alexandra Mello, (1997)
- More ...