Mathematics and Statistics Vol. 3(3), pp. 65 - 70
DOI: 10.13189/ms.2015.030303
Reprint (PDF) (276Kb)

Bayesian Multiperiod Forecasting for Arma Model under Jeffrey's Prior

Zul Amry ^1,*, Adam Baharum ^2
1 Department of Mathematics, State University of Medan, Indonesia
² School of Mathematical Sciences, Universiti Sains Malaysia, Malaysia

ABSTRACT

The main purpose of this study is to find the Bayesian forecast of ARMA model under Jeffrey's prior assumption with quadratic loss function. The point forecast model is obtained based on the mean of the marginal conditional posterior predictive in mathematical expression. Furthermore, the point forecast model of the Bayesian forecasting compared to the traditional forecasting. The simulation shows that the forecast accuracy of Bayesian forecasting is better than the traditional forecasting and the descriptive statistics of Bayesian forecasting are closer to the true value than the traditional forecasting.

KEYWORDS
ARMA Model, Bayes Theorem, Jeffrey's Prior, Multiperiod Forecast

Cite This Paper in IEEE or APA Citation Styles
(a). IEEE Format:
[1] Zul Amry , Adam Baharum , "Bayesian Multiperiod Forecasting for Arma Model under Jeffrey's Prior," Mathematics and Statistics, Vol. 3, No. 3, pp. 65 - 70, 2015. DOI: 10.13189/ms.2015.030303.

(b). APA Format:
Zul Amry , Adam Baharum (2015). Bayesian Multiperiod Forecasting for Arma Model under Jeffrey's Prior. Mathematics and Statistics, 3(3), 65 - 70. DOI: 10.13189/ms.2015.030303.