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234847

An Effectiveness Study Of Bayesian Identification Techniques for ARMA Models

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Last updated: 28 Dec 2024

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Abstract

Model identification is the first and most important stage when analyzing a time series. As a result of analytical complexity, very little has been done from a Bayesian viewpoint in order to identify the orders of ARMA models. Some analytical and numerical identification Techniques have been introduced by Monahan (1983), Broemeling and Shaarawy (1987) and Ali (2003). However, the performance of Monahan (1983) and Ali (2003) techniques have not been studied yet through an effectiveness study. This article has three different objectives. The first one is to carry out a simulation study to assess the performance and efficiency of Monahan's technique. The second objective is to carry out a simulation study to test the adequacy of Ali's technique in handling the Identification problem of ARMA processes. The third objective is to compare among the three Bayesian Identification Techniques   through a comprehensive simulation study. In addition, the results of the three Bayesian Identification Techniques   are compared with the well-known non-Bayesian automatic technique, AIC. The numerical results support the adequacy of the Bayesian techniques in solving the identification problems of autoregressive moving average processes.

DOI

10.21608/esju.2009.234847

Keywords

time series, identification, ARMA models, AIC, Normal gamma density, Jeffreys' prior, Posterior probability mass function

Volume

53

Article Issue

1

Related Issue

33827

Issue Date

2009-06-01

Receive Date

2022-05-04

Publish Date

2009-06-01

Page Start

1

Page End

13

Print ISSN

0542-1748

Online ISSN

2786-0086

Link

https://esju.journals.ekb.eg/article_234847.html

Detail API

https://esju.journals.ekb.eg/service?article_code=234847

Order

1

Type

Original Article

Type Code

1,914

Publication Type

Journal

Publication Title

The Egyptian Statistical Journal

Publication Link

https://esju.journals.ekb.eg/

MainTitle

An Effectiveness Study Of Bayesian Identification Techniques for ARMA Models

Details

Type

Article

Created At

23 Jan 2023