Distance and prediction error variance constraints for ARMA model portfolios

Article Abstract:

The relationship between distance and the posterior odds ratio is demonstrated and the range of prediction error variances that were implicit in posterior odd ratios for ARMS model is made more explicit. A simulation experiment shows that the p.e.v. criterion provides forecasters a measure for assessing that the ARMA model portfolio yields practically equivalent forecasts and a measure for assessing the usefulness of alternative criteria for identifying the order of the ARMA model.

Practice

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Recursive modelling of symmetric and asymmetric volatility in the presence of extreme observations

Article Abstract:

The GARCH (1,1) and GJR (1,1) models are estimated recursively to evaluate the effects of increasing the sample size and including extreme observations. The result indicates that for the set of data, the ARCH and GARCH parameter estimates their asymptotic and robust t-ratios, the second and fourth moment regularity conditions, and various forecast performance measures for both models are all highly volatile for small samples.

United States

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Bayesian time series analysis of periodic behavior and spectral structure

Article Abstract:

A Bayesian time series solution to different inference problems in model selection involving a Markov chain Monte Carlo (MCMC) analysis is presented.

United Kingdom, Bayesian statistical decision theory, Bayesian analysis, Time-series analysis, Time series analysis

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