自回归（MC-AR）模型多协变量的贝叶斯估计

Q1 Decision Sciences

Annals of Data Science Pub Date : 2023-05-04 DOI:10.1007/s40745-023-00468-2

Jitendra Kumar, Ashok Kumar, Varun Agiwal

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引用次数: 0

摘要

在当前情况下，用模型处理协变量/解释变量是研究模型的最重要因素之一。协变量的主要优点是它依赖于过去的观测数据。因此，研究变量是在解释了自身的过去以及协变量的过去和未来观测值之后建立模型的。本文采用贝叶斯方法对带有多个协变量的自回归模型的参数进行估计。为了检验模型的适用性，本文进行了模拟和实证研究，并记录了较好的结果。

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Bayesian Estimation of Multiple Covariate of Autoregressive (MC-AR) Model

In present scenario, handling covariate/explanatory variable with the model is one of most important factor to study with the models. The main advantages of covariate are it’s dependency on past observations. So, study variable is modelled after explaining both on own past and past and future observation of covariates. Present paper deals estimation of parameters of autoregressive model with multiple covariates under Bayesian approach. A simulation and empirical study is performed to check the applicability of the model and recorded the better results.

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来源期刊

Annals of Data Science Decision Sciences-Statistics, Probability and Uncertainty

CiteScore

6.50

自引率

0.00%

发文量

期刊介绍： Annals of Data Science (ADS) publishes cutting-edge research findings, experimental results and case studies of data science. Although Data Science is regarded as an interdisciplinary field of using mathematics, statistics, databases, data mining, high-performance computing, knowledge management and virtualization to discover knowledge from Big Data, it should have its own scientific contents, such as axioms, laws and rules, which are fundamentally important for experts in different fields to explore their own interests from Big Data. ADS encourages contributors to address such challenging problems at this exchange platform. At present, how to discover knowledge from heterogeneous data under Big Data environment needs to be addressed. ADS is a series of volumes edited by either the editorial office or guest editors. Guest editors will be responsible for call-for-papers and the review process for high-quality contributions in their volumes.