Otoregresif Modellerin Bayes Analizinin Hava Kirliliği Verilerine Uygulaması

Öz

Otoregresif (AR) modellerin istatistiksel analizi önemli bir çıkarım problemidir. Çoğu klasik yaklaşımlar, AR modelinin derecesinin belirlenmesinde ve parametrelerin tahmininde geniş olarak kullanılır. Bayesci yaklaşım da her iki amaç içinde kullanılabilir. Bu çalışmada AR modelinin derecesinin belirlenmesinde klasik yaklaşımlar kullanıldı ve Samsun bölgesindeki hava kirliliği verisi için gelecek değerleri tahmin etmede bilgi içermeyen önsellerin kullanımıyla Bayesci yaklaşım incelendi.

Anahtar Kelimeler

• Otoregresif Model
• Bayesci Analiz
• Otoregresif Model

Bayesian Analysis of Autoregresive Models With an Application to Air Pollution Data

Öz

Statistical analysis of autoregressive (AR) models is an important inference problem. Most statistical approaches are widely used in determining the order of the AR model and prediction the parameters. The Bayesian approach can be used for both aim as well. In this study we use the classical approach in determining the order of the AR model and investigate the Bayesian approach with different non-informative priors in predicting future values of the air pollution data for Samsun region.

Anahtar Kelimeler

• Autoregressive Model
• Bayesian Analysis

Kaynakça

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3. CHIB, S. and GREENBERG, E. (1994), Bayes Inference in Regressions Models with ARMA (p,q) Errors, Journal of Econometrics, 64,183-206.
4. MARRIOTT, J. M. and SMITH, A.F.M. (1992), Reparametrization Aspects of Numerical Bayesian Methods for Autoregressive Moving Avarage Models, Journal of Time Series Analysis, 13, 327-343.
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6. MONAHAN, J.F. (1983), Fully Bayesian Analysis of ARMA Time Series Models, Journal of Econometrics, 21, 307-331.
7. ZELLNER, A. (1971), an Introduction to Bayesian Inference in Econometrics, John-Wiley&Sons, Inc.