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Dynamic Bayesian beta models

Author

Listed:
  • da-Silva, C.Q.
  • Migon, H.S.
  • Correia, L.T.

Abstract

We develop a dynamic Bayesian beta model for modeling and forecasting single time series of rates or proportions. This work is related to a class of dynamic generalized linear models (DGLMs), although, for convenience, we use non-conjugate priors. The proposed methodology is based on approximate analysis relying on Bayesian linear estimation, nonlinear system of equations solution and Gaussian quadrature. Intentionally we avoid MCMC strategy, keeping the desired sequential nature of the Bayesian analysis. Applications to both real and simulated data are provided.

Suggested Citation

  • da-Silva, C.Q. & Migon, H.S. & Correia, L.T., 2011. "Dynamic Bayesian beta models," Computational Statistics & Data Analysis, Elsevier, vol. 55(6), pages 2074-2089, June.
    • Handle: RePEc:eee:csdana:v:55:y:2011:i:6:p:2074-2089
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    5. Wagner Hugo Bonat & Paulo Justiniano Ribeiro & Walmes Marques Zeviani, 2015. "Likelihood analysis for a class of beta mixed models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(2), pages 252-266, February.
    6. Cheng, Ching-Wei & Hung, Ying-Chao & Balakrishnan, Narayanaswamy, 2014. "Generating beta random numbers and Dirichlet random vectors in R: The package rBeta2009," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 1011-1020.
    7. James D. Santos & José M. J. Costa, 2019. "An Algorithm for Prior Elicitation in Dynamic Bayesian Models for Proportions with the Logit Link Function," Methodology and Computing in Applied Probability, Springer, vol. 21(1), pages 169-183, March.
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    9. Phillip Li, 2018. "Efficient MCMC estimation of inflated beta regression models," Computational Statistics, Springer, vol. 33(1), pages 127-158, March.
    10. Fabrizi, Enrico & Trivisano, Carlo, 2016. "Small area estimation of the Gini concentration coefficient," Computational Statistics & Data Analysis, Elsevier, vol. 99(C), pages 223-234.
    11. Ricardo Rasmussen Petterle & Wagner Hugo Bonat & Cassius Tadeu Scarpin, 2019. "Quasi-beta Longitudinal Regression Model Applied to Water Quality Index Data," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 24(2), pages 346-368, June.
    12. Souza, M.A.O. & Migon, H.S. & Pereira, J.B.M., 2018. "Extended dynamic generalized linear models: The two-parameter exponential family," Computational Statistics & Data Analysis, Elsevier, vol. 121(C), pages 164-179.
    13. Rodríguez, Carlos E. & Walker, Stephen G., 2021. "Copula Particle Filters," Computational Statistics & Data Analysis, Elsevier, vol. 161(C).

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