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313832

Testing Linearity Against Asymmetric Moving Average Models: A Bayesian Approach

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Last updated: 28 Dec 2024

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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.  

DOI

10.21608/esju.2000.313832

Keywords

asymmetry, Posterior Distribution, Multivariate T, US GNP

Volume

44

Article Issue

2

Related Issue

43032

Issue Date

2000-12-01

Publish Date

2000-12-01

Page Start

159

Page End

170

Print ISSN

0542-1748

Online ISSN

2786-0086

Link

https://esju.journals.ekb.eg/article_313832.html

Detail API

https://esju.journals.ekb.eg/service?article_code=313832

Order

4

Type

Original Article

Type Code

1,914

Publication Type

Journal

Publication Title

The Egyptian Statistical Journal

Publication Link

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

MainTitle

Testing Linearity Against Asymmetric Moving Average Models: A Bayesian Approach

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Type

Article

Created At

28 Dec 2024