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OALib Journal期刊
ISSN: 2333-9721
费用：99美元
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arfima模型参数贝叶斯估计的渐近性质(英文)
, PP. 16-22
Keywords: 贝叶斯方法,arfima模型,后验分布,渐近性质
Abstract:
首先根据贝叶斯定理得到arfima模型参数的后验边缘分布,并选择后验边缘分布的众数作为参数的估计值.参照季节性arfima模型的极大似然估计的渐近性质的证明思路,证明了模型参数的贝叶斯估计具有相合性、有效性和渐近正态性.最后,对参数的贝叶斯估计方法的大样本性质进行仿真模拟,结果表明当时间序列样本足够大时,参数的估计值越来越接近于真实值.
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