Bayesian Estimation of Gold Index's Change Point of Time Series Model

Ying Xiang

doi:10.4028/www.scientific.net/AMR.709.538

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Bayesian Estimation of Gold Index's Change Point of Time Series Model

Abstract:

The thesis mainly estimates the change point of time series model through Bayesian method. First, through establishing the time series model, adopting conjugate prior distribution, linear regression and prior information, the parameter values related to distribution can be got. Then posterior distribution and change point can be got through computation. To reduce iterative error, Peak Algorithm is used to check the posterior distribution. Finally, the gold indexs change point of time sequence model can be got through this method.