Bayesgil VAR Modelinin Gerçek Zaman Dizileri için Kestirim Amaçlı Kullanılması

Reşat Kasap; Sibel Kavak

Article Details

Bayesgil VAR Modelinin Gerçek Zaman Dizileri için Kestirim Amaçlı Kullanılması

Authors:

Reşat Kasap | Sibel Kavak

Publisher:

Cankaya University

Main Topics:

Applied physics

Journal:

Cankaya University Journal of Science and Engineering 2010 Vol.7 Issue 2

Document Type:

Article

Publication Date:

3/2010

Document Language:

Turkish

Document ID (Org No.):

2000903546

Frequency:

Bi-Annual

eISSN:

2564-7954

Abstract:

 


In this paper, it has been done the application of the forecasting for real time
series using the Bayesian vector autoregressive (BVAR) that is improvised by Litterman
[1,2]. So, for the data, the performance of forecasting for BVAR according to VAR and the
univariate (Box-Jenkins) [3] model has been compared by the known measurement that is
RMSE (root mean square error). Time series that are used for the analysis are the annual
(1925-1999) series of the population, the export for every person, the import for every
person and the ratio of GNP (gross national product) for export of Turkey. As a result
of this study, it may said that the BVAR models can be used as a method to produce
appropriate forecasts on time series that have different fluctuations.

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Article Details

Bayesgil VAR Modelinin Gerçek Zaman Dizileri için Kestirim Amaçlı Kullanılması

Authors: Reşat Kasap | Sibel Kavak

Publisher: Cankaya University

Main Topics: Applied physics

Journal: Cankaya University Journal of Science and Engineering 2010 Vol.7 Issue 2

Document Type: Article

Publication Date: 3/2010

Document Language: Turkish

Document ID (Org No.): 2000903546

Frequency: Bi-Annual

eISSN: 2564-7954

Issues

Authors:

Reşat Kasap | Sibel Kavak

Publisher:

Cankaya University

Main Topics:

Applied physics

Journal:

Cankaya University Journal of Science and Engineering 2010 Vol.7 Issue 2

Document Type:

Article

Publication Date:

3/2010

Document Language:

Turkish

Document ID (Org No.):

2000903546

Frequency:

Bi-Annual

eISSN:

2564-7954