Baysian seasonal analysis with robust priors

Rolando Gonzales ()
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Rolando Gonzales: Universidad de Alcalá

Investigación & Desarrollo, 2012, vol. 1, issue 1, 88-93 pages

Abstract: An analytical Bayesian approach to seasonal analysis is proposed, using robust priors to control for extreme observations. Seasonal fan charts were estimated with Bayesian predictive densities. Empirical applications to U.S. residential electricity consumption, Spain’s tourism and Bolivian’s inflation are presented. The results show that the Bayesian approach allows to investigate probabilistically the seasonal component of a time series, thus accounting for the uncertainty of the seasonal pattern.

Keywords: Seasonal analysis; Bayesian inference (search for similar items in EconPapers)
JEL-codes: C11 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:iad:wpaper:0312

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