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arXiv 2409.07263stat.ME
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计数时间序列GARMA模型中的阶数选择:贝叶斯视角

Order selection in GARMA models for count time series: a Bayesian perspective

Katerine Zuniga Lastra, Guilherme Pumi, Taiane Schaedler Prass

AI总结:

本研究从贝叶斯视角,利用可逆跳跃MCMC方法解决计数时间序列GARMA模型的阶数选择问题,并通过模拟和巴西汽车生产及客车出口数据验证了方法的有效性。

摘要:

GARMA模型的估计传统上是在频率学派方法下进行的。迄今为止,针对此类估计的贝叶斯方法相对有限。在针对计数时间序列的GARMA模型背景下,贝叶斯估计在点估计方面取得了令人满意的结果。此背景下的模型选择通常依赖于信息准则的使用。尽管信息准则在文献中占有重要地位,但已有研究表明,在针对计数时间序列的GARMA模型中使用信息准则进行模型选择,在模拟中表现不佳,尤其是在正确识别模型的能力方面,即使在大样本量下也是如此。在本研究中,我们研究了计数时间序列GARMA模型中的阶数选择问题,通过应用可逆跳跃马尔可夫链蒙特卡洛方法,采用贝叶斯视角。进行了蒙特卡洛模拟研究,以评估所开发思想的有限样本性能,包括点和区间推断、敏感性分析、燃烧期和稀疏化的影响,以及相关先验和超参数的选择。提出了两个真实数据应用,一个考虑巴西的汽车生产,另一个考虑COVID-19大流行前后巴西的客车出口,展示了该方法的能力并进一步探讨了其灵活性。

英文摘要:

Estimation in GARMA models has traditionally been carried out under the frequentist approach. To date, Bayesian approaches for such estimation have been relatively limited. In the context of GARMA models for count time series, Bayesian estimation achieves satisfactory results in terms of point estimation. Model selection in this context often relies on the use of information criteria. Despite its prominence in the literature, the use of information criteria for model selection in GARMA models for count time series have been shown to present poor performance in simulations, especially in terms of their ability to correctly identify models, even under large sample sizes. In this study, we study the problem of order selection in GARMA models for count time series, adopting a Bayesian perspective through the application of the Reversible Jump Markov Chain Monte Carlo approach. Monte Carlo simulation studies are conducted to assess the finite sample performance of the developed ideas, including point and interval inference, sensitivity analysis, effects of burn-in and thinning, as well as the choice of related priors and hyperparameters. Two real-data applications are presented, one considering automobile production in Brazil and the other considering bus exportation in Brazil before and after the COVID-19 pandemic, showcasing the method's capabilities and further exploring its flexibility.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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