Determining the order of a moving average model of time series using reversible jump MCMC: a comparison between laplacian and gaussian noises

• Main Authors: Suparman, Suparman, Abdellah Salhi, Abdellah Salhi, Rusiman, Mohd Saifullah
• Format: Article
• Language: English
• Published: HRPUB 2020
• Subjects: TD878-894 Special types of environment, Including soil pollution, air pollution, noise pollution
• Online Access: http://eprints.uthm.edu.my/6177/1/J11857_5159bc59f48149f59f67f4334ace2767.pdf; http://eprints.uthm.edu.my/6177/; https://doi.org/10.13189/ms.2020.080613

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...