Bayesian Approach for ARMA Process and Its Application

Abstract

There have been a lot of works relating to time series analysis. In this paper, the Bayesian analysis method for ARMA model is discussed and an application example is given. Firstly, the Bayesian theoretic results about AR model and the determination approach for model order are obtained. Then, the approach are presented for Bayesian analysis of MA and ARMA models. As its application, the forecasting model for Shanghai real estate price index is set up and the digital result shows well performance.