Extended dynamic generalized linear models: The two-parameter exponential family

M.A.O. Souza, H.S. Migon and J.B.M. Pereira

Computational Statistics & Data Analysis, 2018, vol. 121, issue C, 164-179

Abstract: A Bayesian framework for estimation and prediction of dynamic models for observations from the two-parameter exponential family is developed. Different link functions are introduced to model both the mean and the precision in the exponential family allowing the introduction of covariates and time series components such as trend and seasonality. Conjugacy and analytical approximations are explored under the class of partially specified models to keep the computation fast. Due to the sequential nature of the proposed algorithm, all the advantages of sequential analysis, such as monitoring and intervention, can be applied to cope with the two-parameter exponential family models. The methodological novelties are illustrated with a simulation study and two applications to real data. The first application considers a well known financial time series regarding IBM stock returns modeled as following a gamma distribution. The second considers macroeconomic variables of the United Kingdom modeled as beta distributed data.

Keywords: Bayesian inference; Analytical approach; Conjugate updating (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167947316302249
Full text for ScienceDirect subscribers only.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:121:y:2018:i:c:p:164-179

DOI: 10.1016/j.csda.2016.09.008

Access Statistics for this article

Computational Statistics & Data Analysis is currently edited by S.P. Azen

More articles in Computational Statistics & Data Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().