The current article approaches the Bayesian prediction of moving average processes using three well-known priors: g prior, natural conjugate (NC) prior, and Jeffreys' prior. The main goal of the study is to derive approximate one step-ahead predictive densities for moving average (MA) processes using each of the above-mentioned priors. However, the basic contribution is the derivation of the predictive density based upon the g prior. Investigating the performance of the three one step-ahead predictive densities is performed via comprehensive simulation studies using MA(1) and MA(2) processes for illustration. The simulation results show the equivalence of the performance of the three one step-ahead predictive densities based on the three considered priors in the forecasting process.
Shaarawy, S., Soliman, E., & Shahin, H. (2018). Bayesian Prediction of Moving Average Processes Using Different Types of Priors. The Egyptian Statistical Journal, 62(1), 35-57. doi: 10.21608/esju.2018.244260
MLA
Samir Shaarawy; Emad Soliman; Heba E.A. Shahin. "Bayesian Prediction of Moving Average Processes Using Different Types of Priors", The Egyptian Statistical Journal, 62, 1, 2018, 35-57. doi: 10.21608/esju.2018.244260
HARVARD
Shaarawy, S., Soliman, E., Shahin, H. (2018). 'Bayesian Prediction of Moving Average Processes Using Different Types of Priors', The Egyptian Statistical Journal, 62(1), pp. 35-57. doi: 10.21608/esju.2018.244260
VANCOUVER
Shaarawy, S., Soliman, E., Shahin, H. Bayesian Prediction of Moving Average Processes Using Different Types of Priors. The Egyptian Statistical Journal, 2018; 62(1): 35-57. doi: 10.21608/esju.2018.244260
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