Suy diễn Bayes trong thống kê ứng dụng

A. P. Dempster1
1Harvard University, USA

Tóm tắt

Nhiệm vụ đánh giá phân phối hậu nghiệm từ dữ liệu thực nghiệm có nhiễu đòi hỏi các yêu cầu khó khăn về mô hình hóa, tính toán và đánh giá độ nhạy đối với lựa chọn mô hình. Phân tích theo mùa của chuỗi thời gian kinh tế được sử dụng để minh họa các cách tiếp cận những khó khăn này.

Từ khóa

#Suy diễn Bayes #thống kê ứng dụng #phân phối hậu nghiệm #chuỗi thời gian kinh tế #phân tích theo mùa

Tài liệu tham khảo

Box, G. E. P. andJenkins, G. M. (1976).Time Series Analysis: Forecasting and Control (Revised Edition). San Francisco: Holden-Day. Cleveland, W.P. andTiao, G.C. (1976). Decomposition of Seasonal Time Series: A Model for the Census X-11 Program.J. Amer. Statist. Assoc. 71, 581–587. Good, I.J. (1965).The Estimation of Probabilities. Cambridge, Mass. The M.I.T. Press. Lindley, D.V. andSmith, A.F.M. (1972). Bayes Estimates for the Linear Model.J. Roy. Statist. Soc. Ser. B 34, 1–41. Mandelbrot, B.B. (1972). Statistical Methodology for Nonperiodic Cycles: From the Covariance to R/S Analysis.Annals of Economic and Social Measurement 1, 257–288. Parzen, (1977). Multiples Time Series: Determining the Order of Approximating Autoregressive Schemes. InMultivariate Analysis IV, (P.R. Krishnaiah, ed.) 283–295. Amsterdam: North Holland. Whittle, P. (1963).Prediction and Regulation. Princeton: Van Nostrand. Zellner, A. (ed.) (1978).Seasonal Analyses of Economic Time Series. Economic Research Report,ER-1, U.S. Bureau of the Census, Washington, DC. BOX, G.E.P. and JENKINS, G.M. (1976).Time-Series Analysis: Forecasting and Control. San Francisco: Holden-Day. HAWKES, A.G. (1969). An approach to the analysis of electoral swing.J. Roy. Statist. Soc. A 132, 68–79. HARRISON, P.J. and STEVENS, C.F. (1976). Bayesian Forecasting (with discussion).J. Roy. Statist. Soc. B 38, 205–247. HARRISON, P.J., LEONARD, T. and GAZZARD (1977). Multivariate hierarchical forecasting.Proc. Annual Conf. Roy. Statist. Soc., Manchester 1977. MILLER, W.L. (1972). Measures of electoral change using aggregate data.J. Roy. Statist. A 135, 122–142. PIERCE, D.A. (1978). Seasonal Adjustment When Both Deterministic and Stochastic Seasonality are Present. InSeasonal Analysis of Economic Time Series, (Zellner ed.) 242–269, Washington, D.C.: U.S. Government Printing Office. PLOSSER, C.I. (1978). A Time Series Analysis of Seasonality in Econometric Models. InSeasonal Analysis of Economic Time Series, (Zellner ed.) 365–397. Washington, D.C.: U.S. Government Printing Office. PRESS, S.J. (1980). Bayesian Computer Programs. InBayesian Analysis in Econometrics and Statistics: Essays in Honor of Harold Jeffreys, (Zellner ed.) 429–442, Amsterdam: North Holland Publishing Company. ROTHENBERG, T. (1973). A Bayesian Analysis of Simultaneous Equation Systems.Tech. Report.6315, Rotterdam: Econometric Institute. ZELLNER, A. (1971).An Introduction to Bayesian Inference in Econometrics. New York: Wiley. ZELLNER, A. (1972). On assessing informative prior distributions for regression coefficients.Tech. Rep., University of Chicago. — (1978). (ed.)Seasonal Analysis of Economic Time Series. Washington, D.C.: U.S. Government Printing Office.