基于MH算法的贝叶斯分位自回归模型（历史学毕业论文）.docVIP

基于MH算法的贝叶斯分位自回归模型（历史学毕业论文） 文档信息 属性： F-017X43，doc格式，正文7478字。质优实惠，欢迎下载！ 适用： 作为文章写作的参考文献，解决如何写好实用应用文、正确编写文案格式、内容摘取等相关工作。 目录 TOC \o 1-9 \h \z \u 目录 1 正文 1 搞要 2 关键字：时间序列分析;分位数;AR模型;贝叶斯方法;仿真 2 1模型结构分析 4 (10) 6 2模型的MCMC估计 7 (11) 7 (12) 7 (13) 7 (14) 8 (15) 8 (16) 8 3 仿真分析 8 (17) 8 4结束语 10 参考文献 11 论文原创声明（模板） 13 论文致谢（模板） 13 正文 基于MH算法的贝叶斯分位自回归模型（历史学毕业论文） 搞要 摘要：针对时间序列分布特征多样性的问题,不考虑序列本身的分布特征而选择非对称Laplace分布的似然函数对模型进行贝叶斯分位回归分析。利用Metropolis-Hastings算法模拟参数的后验边缘分布,解决了参数估计过程遇到的高维数值积分的问题。仿真分析中,参数的迭代轨迹是收敛的,说明MH抽样有效地模拟了参数的后验边缘分布;并且应用该方法估计出了不同分位数下模型参数的后验均值,标准差,MC误差和95%的置信区间。非对称和局部持续性数据的数值模拟,证实了贝叶斯分位自回归模型可以更全面有效地描述滞后变量对响应变量变化范围和条件分布形状的影响 关键字：时间序列分析;分位数;AR模型;贝叶斯方法;仿真 中图分类号: 文献标识码:A Bayesian Inference on the Quantile Autoregressive Models with Metropolis-hastings Algorithm ZENG Hui-fang1+, ZHU Hui-ming1, LI Su-fang1, YU Ke-ming2 ( of Business Administration, Hunan Univ, Changsha,Hunan410082, China; 2. Department of Mathematical Science, brunel Univ, London UB8 3PH, UK) Abstract:The distribution feature of time series could not always be described easily, due to its diversity, the likelihood function based on the asymmetric Laplace distribution was employed irrespective of the original distribution of the data. To carry out Bayesian inference on the quantile autoregression, the Metropolis-Hastings algorithm was utilized to simulate the posterior marginal distribution of quantile autoregressive parameters,which resolved the difficulties of the high dimension numerical integral. The simulation result shows that the MH algorithm is effective to simulate the posterior marginal densities because trace plots are convergence. The posterior mean, standard deviation, MC error and 95% posterior confidence interval of the quantile autoregressive parameters were estimated, which comprehensively describe how the lag variables influence on the location, scale and shape of the conditional distribution of the response. Key words: time series analysis;