A Bayesian Approach to Event Prediction

.  In a series of papers, Lindgren (1975a, 1985) and de Maré (1980) set the principles of optimal alarm systems and obtained the basic results. Application of these ideas to linear discrete time‐series models was carried out by Svensson et al. (1996). In this paper, we suggest a Bayesian predictive...

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Published inJournal of time series analysis Vol. 24; no. 6; pp. 631 - 646
Main Authors Antunes, M., Turkman, M. A. Amaral, Turkman, K. F.
Format Journal Article
LanguageEnglish
Published Oxford, UK Blackwell Publishing Ltd 01.11.2003
Wiley Blackwell
SeriesJournal of Time Series Analysis
Subjects
autoregressive processes
Bayesian method
Econometrics
Mathematical analysis
Optimal alarm systems
predictive distributions
Statistical methods
Time series
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Summary:.  In a series of papers, Lindgren (1975a, 1985) and de Maré (1980) set the principles of optimal alarm systems and obtained the basic results. Application of these ideas to linear discrete time‐series models was carried out by Svensson et al. (1996). In this paper, we suggest a Bayesian predictive approach to event prediction and optimal alarm systems for discrete time series. There are two novelties in this approach: first, the variation in the model parameters is incorporated in the analysis; second, this method allows ‘on‐line prediction’ in the sense that, as we observe the process, our posterior probabilities and predictions are updated at each time point.
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ISSN:0143-9782
1467-9892
DOI:10.1111/j.1467-9892.2003.00326.x