Bayesian analysis of stochastic trends and seasonality:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Bamberg
2014
|
| Subjects: | |
| Online Access: | Volltext Inhaltsverzeichnis |
| Physical Description: | XII, 215 S. graph. Darst. |
Staff View
MARC
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| 245 | 1 | 0 | |a Bayesian analysis of stochastic trends and seasonality |c von Alexander Vosseler |
| 264 | 1 | |a Bamberg |c 2014 | |
| 300 | |a XII, 215 S. |b graph. Darst. | ||
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Record in the Search Index
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|---|---|
| adam_text | Contents
List of tables
Ι γ
List of figures VI
List of notations
VIII
1.
Introduction
1.1.
Summary and structure of the thesis
.................... 1
1.2.
Motivation
.................................. 2
Part A: Analysis of nonseasonal time series
2.
Bayesian model selection for unit root testing with multiple breaks
2.1.
Introduction
................................. 8
2.2.
Bayesian unit root testing with multiple breaks
.............. 11
2.2.1.
Model and definitions
....................... 11
2.2.2.
Likelihood and prior specifications
................. 14
2.3.
Stochastic model selection via MCMC
................... 15
2.4.
Monte Carlo evidence: MCMC based model selection
........... 20
2.5.
Testing the unit root null hypothesis
.................... 25
2.6.
Power comparison of unit root testing procedures
............. 29
2.7.
Empirical application using
OECD
data
.................. 31
2.8.
Summary and conclusion
.......................... 36
Part B:
Analysis of seasonal time series
3.
Some concepts related to seasonal time series
3.1.
Stochastic seasonal
i ty
and seasonal integration
.............. 39
3.2.
Periodic processes and periodic integration
................ 43
3.3.
Two classical testing approaches for a periodic unit root
.......... 49
4.
Bayesian analysis of periodic unit roots with a break
4.1.
Introduction
................................. 53
4.2.
Model and definitions
............................ 56
4.3.
Bayesian testing for a periodic unit root
.................. 57
4.4.
Monte Carlo evidence: periodic unit root tests
............... 64
4.5.
Empirical application to monthly unemployment data
........... 71
4.6.
Summary and concluding remarks
..................... 74
5.
Forecasting seasonal time series. A Bayesian model averaging ap¬
proach
5.1.
Introduction
................................. 77
5.2.
Periodic
autoregressive
models with one break
............... 79
5.2.1.
Specification of prior distributions
................. 80
5.2.2.
Model augmentation for prediction
................ 82
5.3.
Markov chain Monte Carlo approach
.................... 85
5.4.
Monte Carlo analysis
............................ 89
5.4.1.
A Bayesian sign test for comparing predictive accuracy
...... 90
5.4.2.
Simulation evidence
........................ 94
5.5.
Forecasting German monthly unemployment data
............. 100
5.6.
Concluding remarks
............................. 105
6.
Final summary and discussion
107
Appendices
A. Tables
-
chapter
2.............................. 125
B. Tables
-
chapter
4.............................. 131
С
Tables -chapters
.............................. 137
D. Figures
-
chapter
2 ............................. 149
Π
E.
Figures
-
chapter
4............................. 159
F.
Figures
-
chapter
5 ............................. 164
G.
Technical details
-
chapter
4 ........................ 182
G.I. Preliminaries
-
posterior analysis
.................. 182
G.2. Derivation of the posterior density of
Β ι
.............. 192
G.3. Derivation of the posterior density of
фѕ
.............. 197
G.4. Derivationof the marginal posterior of
θ
............. 197
G.5. Derivation of the marginal posterior of
Q
............. 198
G.6. Some comments on the prior distribution
............. 201
H. Technical details
-
chapter
5 ........................ 203
H.I. Derivation of the posterior predictive distribution of
уд,-
...... 203
III
|
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| indexdate | 2024-07-10T01:07:54Z |
| institution | BVB |
| language | English |
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| physical | XII, 215 S. graph. Darst. |
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| spelling | Vosseler, Alexander Verfasser (DE-588)105210004X aut Bayesian analysis of stochastic trends and seasonality von Alexander Vosseler Bamberg 2014 XII, 215 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Bamberg, Otto-Friedrich-Univ., Diss., 2014 Markov-Ketten-Monte-Carlo-Verfahren (DE-588)4508520-1 gnd rswk-swf Bayes-Verfahren (DE-588)4204326-8 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Bayes-Verfahren (DE-588)4204326-8 s Markov-Ketten-Monte-Carlo-Verfahren (DE-588)4508520-1 s DE-604 Erscheint auch als Online-Ausgabe urn:nbn:de:bvb:473-opus4-67640 1885 KB https://fis.uni-bamberg.de/handle/uniba/3027 Verlag kostenfrei Volltext Digitalisierung UB Bamberg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027347854&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Vosseler, Alexander Bayesian analysis of stochastic trends and seasonality Markov-Ketten-Monte-Carlo-Verfahren (DE-588)4508520-1 gnd Bayes-Verfahren (DE-588)4204326-8 gnd |
| subject_GND | (DE-588)4508520-1 (DE-588)4204326-8 (DE-588)4113937-9 |
| title | Bayesian analysis of stochastic trends and seasonality |
| title_auth | Bayesian analysis of stochastic trends and seasonality |
| title_exact_search | Bayesian analysis of stochastic trends and seasonality |
| title_full | Bayesian analysis of stochastic trends and seasonality von Alexander Vosseler |
| title_fullStr | Bayesian analysis of stochastic trends and seasonality von Alexander Vosseler |
| title_full_unstemmed | Bayesian analysis of stochastic trends and seasonality von Alexander Vosseler |
| title_short | Bayesian analysis of stochastic trends and seasonality |
| title_sort | bayesian analysis of stochastic trends and seasonality |
| topic | Markov-Ketten-Monte-Carlo-Verfahren (DE-588)4508520-1 gnd Bayes-Verfahren (DE-588)4204326-8 gnd |
| topic_facet | Markov-Ketten-Monte-Carlo-Verfahren Bayes-Verfahren Hochschulschrift |
| url | https://fis.uni-bamberg.de/handle/uniba/3027 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027347854&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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