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Gibbs Sampling for Double Seasonal Autoregressive Models
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 Title & Authors
Gibbs Sampling for Double Seasonal Autoregressive Models
Amin, Ayman A.; Ismail, Mohamed A.;
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In this paper we develop a Bayesian inference for a multiplicative double seasonal autoregressive (DSAR) model by implementing a fast, easy and accurate Gibbs sampling algorithm. We apply the Gibbs sampling to approximate empirically the marginal posterior distributions after showing that the conditional posterior distribution of the model parameters and the variance are multivariate normal and inverse gamma, respectively. The proposed Bayesian methodology is illustrated using simulated examples and real-world time series data.
multiplicative seasonal autoregressive;double seasonality;Bayesian analysis;Gibbs sampler;internet traffic data;
 Cited by
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