Determining the order of a moving average model of time series using reversible jump MCMC: a comparison between laplacian and gaussian noises
Moving average (MA) is a time series model often used for pattern forecasting and recognition. It contains a noise that is often assumed to have a Gaussian distribution. However, in various applications, noise often does not have this distribution. This paper suggests using Laplacian noise in the MA...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
HRPUB
2020
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| Subjects: | |
| Online Access: | http://eprints.uthm.edu.my/6177/1/J11857_5159bc59f48149f59f67f4334ace2767.pdf |