| 基于Gibbs抽样的贝叶斯稳健ARMA模型研究 |
| |
| 引用本文： | 朱慧明,邓迎春.基于Gibbs抽样的贝叶斯稳健ARMA模型研究[J].经济数学,2009,26(2):82-90. |
| |
| 作者姓名： | 朱慧明 邓迎春 |
| |
| 作者单位： | 1. 湖南大学工商管理学院,湖南,长沙,410082
2. 仰恩大学管理学院,福建,泉州,362014 |
| |
| 基金项目： | 国家自然科学基金项目(70771038);;教育部人文社科规划项目(06JA910001);;教育部新世纪优秀人才支持计划项目(NCET050704) |
| |
| 摘 要： | 针对ARMA模型建模过程中模型识别和参数估计易受观测值异常点影响问题，构建了同时考虑加性异常点和更新性异常点的ARMA模型．运用基于Gibbs抽样的Markov Chain Monte Carlo贝叶斯方法，估计稳健ARMA模型参数，同步确定观测值中异常点的位置，辨别异常点类型．并利用我国人口自然增长数据进行仿真分析，研究结果表明：贝叶斯方法能够有效地识别ARMA序列的异常点．
|
| 关 键 词： | ARMA模型 异常点 贝叶斯估计 Gibbs抽样 稳健分析 |
BAYESIAN ANALYSIS OF ROBUST ARMA MODELS USING GIBBS SAMPLING |
| |
| ZHU Hui-ming,DENG Ying-chun.BAYESIAN ANALYSIS OF ROBUST ARMA MODELS USING GIBBS SAMPLING[J].Mathematics in Economics,2009,26(2):82-90. |
| |
| Authors: | ZHU Hui-ming DENG Ying-chun |
| |
| Institution: | 1.College of Business Administration;Hunan University;Changsha;Hunan 410082;2.College of Management Science;Yangen University;Quanzhou;Fujang 362014 |
| |
| Abstract: | To solve the problem that the model identification and the parameter estimation in the ARMA models easily affected by the outliers in time series data,this paper constructed a robust ARMA model which has both additive and renewal outliers.The parameters in the robust ARMA models were estimated by Gibbs sampling,and the kinds and locations for the outliers were also determinated simultaneously.The methodology was illustrated by applying it to Chinese population natural increasing,and the results show that th... |
| |
| Keywords: | ARMA models outliers bayesian estimation Gibbs sampling robust analysis |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
