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Baysian seasonal analysis with robust priors

Author

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  • Rolando Gonzales Martínez

    (Universidad de Alcalá)

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.

Suggested Citation

  • Rolando Gonzales Martínez, 2012. "Baysian seasonal analysis with robust priors," Investigación & Desarrollo, Universidad Privada Boliviana, vol. 1(1), pages 88-93.
    • Handle: RePEc:iad:wpaper:0312
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    File URL: http://www1.upb.edu/RePEc/iad/wpaper/0312.pdf
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    References listed on IDEAS

    as
    1. Hirotugu Akaike, 1980. "Seasonal Adjustment By A Bayesian Modeling," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 1-13, January.
    2. Jason B. Jorgensen & Fred Joutz, 2012. "Modelling and Forecasting Residential Electricity Consumption in the U.S. Mountain Region," Working Papers 2012-003, The George Washington University, The Center for Economic Research.
    3. Tommaso, Proietti & Stefano, Grassi, 2010. "Bayesian stochastic model specification search for seasonal and calendar effects," MPRA Paper 27305, University Library of Munich, Germany.
    4. Clive W. J. Granger, 1979. "Seasonality: Causation, Interpretation, and Implications," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 33-56, National Bureau of Economic Research, Inc.
    5. Franses, Philip Hans & Hoek, Henk & Paap, Richard, 1997. "Bayesian analysis of seasonal unit roots and seasonal mean shifts," Journal of Econometrics, Elsevier, vol. 78(2), pages 359-380, June.
    6. Shirley Kallek, 1978. "An Overview of the Objectives and Framework of Seasonal Adjustment," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 3-32, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

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    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General

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