三重季节自回归模型的贝叶斯推断

IF 1.1 Q3 STATISTICS & PROBABILITY Pakistan Journal of Statistics and Operation Research Pub Date : 2022-12-04 DOI:10.18187/pjsor.v18i4.3869
A. Amin
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引用次数: 3

摘要

本文将自回归模型扩展到具有三层季节性的时间序列,即三重季节自回归(TSAR)模型,并引入了这些TSAR模型的贝叶斯推理。假设TSAR模型误差为正态分布,并对模型参数采用杰弗里斯先验、g先验和正态伽玛先验三种先验,推导出TSAR模型参数的边际后验分布。特别是,我们表明边际后验分布分别是模型系数和精度的多元t和γ分布。我们通过模拟研究评估了所提出的贝叶斯推断的效率,然后我们将其应用于六个欧洲国家的实际小时电力负荷时间序列数据集。
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Bayesian Inference of Triple Seasonal Autoregressive Models
In this paper we extend autoregressive models to fit time series that have three layers of seasonality, i.e. triple seasonal autoregressive (TSAR) models, and we introduce the Bayesian inference for these TSAR models. Assuming the TSAR model errors are normally distributed and employing three priors, i.e. Jeffreys', g, and normal-gamma priors, on the model parameters, we derive the marginal posterior distributions of the TSAR model parameters. In particular, we show that the marginal posterior distributions to be multivariate t and gamma distributions for the model coefficients and precision, respectively. We evaluate the efficiency of the proposed Bayesian inference using simulation study, and we then apply it to real-world hourly electricity load time series datasets in six European countries.
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来源期刊
CiteScore
3.30
自引率
26.70%
发文量
53
期刊介绍: Pakistan Journal of Statistics and Operation Research. PJSOR is a peer-reviewed journal, published four times a year. PJSOR publishes refereed research articles and studies that describe the latest research and developments in the area of statistics, operation research and actuarial statistics.
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