Journal of Computer Science

Bayesian Models for Time Series with Covariates, Trend, Seasonality, Autoregression and Outliers

Pitsanu Tongkhow and Nantachai Kantanantha

DOI : 10.3844/jcssp.2013.291.298

Journal of Computer Science

Volume 9, Issue 3

Pages 291-298

Abstract

Bayesian methods furnish an attractive approach to time series data analysis. This article proposes the forecasting models that can detect trend, seasonality, auto regression and outliers in time series data related to some covariates. Cumulative Weibull distribution functions for trend, dummy variables for seasonality, binary selections for outliers and latent autoregression for autocorrelated time series data are used for the data analysis. The Gibbs sampling, a Markov Chain Monte Carlo (MCMC) algorithm, is used for the parameter estimation. The proposed models are applied to vegetable price time series data in Thailand. According to the RMSE, MAPE and MAE criteria for model comparisons, the proposed models provide the best results compared to the exponential smoothing models, SARIMA models and the Bayesian models with trend, auto regression and outliers.

Copyright

© 2013 Pitsanu Tongkhow and Nantachai Kantanantha. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.