Beta-Gamma Time Series Models with Discounting

DOI

Bibliographic Information

Other Title
  • 情報割引によるベータ・ガンマ型時系列モデル

Abstract

<p>We review the properties and applications of the beta-gamma model, a Markov process whose marginal distribution is a gamma distribution at each time point. For the conjugacy of gamma distributions as the priors for the Gaussian precision and Poisson rate, the beta-gamma model has been used as the state equation of the Gaussian/Poisson state space models, enabling fast,analytical computation of the online and retrospective posterior distributions and predictive distributions. Typical applications include the sequential analysis of volatilities and steaming count-valued data.</p>

Journal

Keywords

Details 詳細情報について

  • CRID
    1390015897170569472
  • DOI
    10.11329/jjssj.53.227
  • ISSN
    21891478
    03895602
  • Text Lang
    ja
  • Data Source
    • JaLC
  • Abstract License Flag
    Disallowed

Report a problem

Back to top