Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Bayesian Estimation Procedure in Multiprocess Discount Generalized Model

  • Joong Kweon Sohn (Department of Statistics, Kyungpook National University, Daegu 702-701, Korea) ;
  • Sang Gil Kang (Department of Statistics, Kyungpook National University, Daegu 702-701, Korea) ;
  • Joo Yong Shim (Department of Statistics, Kyungpook National University, Daegu 702-701, Korea)
  • Published : 1997.04.01
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Abstract

The multiprocess dynamic model provides a good framework for the modeling and analysis of the time series that contains outliers and is subject to abrupt changes in pattern. In this paper we consider the multiprocess discount generalized model with parameters having a dependent non-linear structure. This model has nice properties such as insensitivity to outliers and quick reaction to abrupt change of pattern in parameters.

Keywords

References

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