基于近似贝叶斯计算的ARMA模型参数估计

Parameter Estimation Based on Approximate Bayesian Computation for ARMA Model

将近似贝叶斯计算(ABC)方法应用于ARMA模型的参数估计,并结合实例分析,与其他方法的估计结果相比较,结果表明ABC算法确实较大提高了估计精度。

In this paper approximate bayesian computation method was adopted to estimate the parameters of ARMA model,and through the example analysis,the ABC algorithm indeed improved the estimation accuracy compared with other methods.