A Bayesian approach to modelling stochastic cycles

A Bayesian approach to modelling stochastic cycles

0.00 Avg rating0 Votes
Article ID: iaor1994770
Country: United Kingdom
Volume: 12
Issue: 6
Start Page Number: 525
End Page Number: 538
Publication Date: Aug 1993
Journal: International Journal of Forecasting
Authors: ,
Keywords: Bayesian forecasting
Abstract:

This article deals with a fully Bayesian approach to describe the cyclical behaviour of a univariate time series. A damped sine wave where both the period and the damping factor are time varying is assumed as the underlying mathematical model for the cyclical component. The model is applied to two real data sets; the annual rainfall observations in Fortaleza, Brazil, and the annual Wolf sunspot numbers.

Reviews

Required fields are marked *. Your email address will not be published.