In this paper, it has been done the application of the forecasting for real time
series using the Bayesian vector autoregressive (BVAR) that is improvised by Litterman
[1,2]. So, for the data, the performance of forecasting for BVAR according to VAR and the
univariate (Box-Jenkins) [3] model has been compared by the known measurement that is
RMSE (root mean square error). Time series that are used for the analysis are the annual
(1925-1999) series of the population, the export for every person, the import for every
person and the ratio of GNP (gross national product) for export of Turkey. As a result
of this study, it may said that the BVAR models can be used as a method to produce
appropriate forecasts on time series that have different fluctuations.
Time series analysis forecasting VAR (vector autoregressive) Bayesian VAR RMSE criterion
Konular | Mühendislik |
---|---|
Bölüm | Makaleler |
Yazarlar | |
Yayımlanma Tarihi | 1 Nisan 2010 |
Yayımlandığı Sayı | Yıl 2010 Cilt: 7 Sayı: 2 |