Study About The Robustness Of The Bayesian Criterion

Authors

  • دريد حسين بدر

DOI:

https://doi.org/10.33095/jeas.v24i106.33

Keywords:

أنموذج الأنحدار الذاتي، معيار بيز، دالة الأرتباط الذاتي ، دالة الأرتباط الجزئي ، طريقة الأمكان الأعظم ، طريقة المربعات الصغرى ، طريقة العزوم ., Autoregressive mode , Bayesian criterion, Auto Correlation Function, Partial Auto Correlation Function, Maximum Likelihood Method, Least squares method , Moment method .

Abstract

In this research work an attempt has been made to investigate about the Robustness of the Bayesian Information criterion to estimate the order of the autoregressive process when the error of this model,  Submits to a specific distributions and different cases of the time series on various size of samples by using the simulation,  This criterion has been studied by depending on ten distributions, they are (Normal, log-Normal, continues uniform, Gamma , Exponential, Gamble, Cauchy, Poisson, Binomial, Discrete uniform) distributions, and then it has been reached to many collection and recommendations related to this object , when the series residual variable is subject to each  ( Poisson , Binomial , Exponential , Discrete uniform , continues uniform,  log-Normal ) distributions , then robust  Bayesian criterion to estimate the order of the autoregressive process high if the Non- stationary Time  , began decreases as the sample size increases those subject to a random path and when the series residual variable is subject to each they are (Gamma,  Gamble, Cauchy ) distributions then  robust Bayesian criterion  if the decreases as the sample size at  Non- stationary Time Series  and increases as the sample size increases, and the greater robust the size of the sample of those subject to a random path .

 

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Published

2018-10-17

Issue

Section

Statistical Researches

How to Cite

“Study About The Robustness Of The Bayesian Criterion” (2018) Journal of Economics and Administrative Sciences, 24(106), p. 420. doi:10.33095/jeas.v24i106.33.

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