Bezerra et al. 2008 proposed a new method, based on Yule-Walker equations, to estimate the\r\nARMA spectral model. In this paper, a Bayesian approach is developed for this model by using\r\nthe noninformative prior proposed by Jeffreys 1967. The Bayesian computations, simulation via\r\nMarkov Monte Carlo MCMC is carried out and characteristics of marginal posterior distributions\r\nsuch as Bayes estimator and confidence interval for the parameters of the ARMA model are\r\nderived. Both methods are also compared with the traditional least squares and maximum\r\nlikelihood approaches and a numerical illustration with two examples of the ARMA model is\r\npresented to evaluate the performance of the procedures
Loading....