In this paper, we present a Bayesian inference methodology for Box-Cox transformed linear mixed model with ARMA(p, q) errors using approximate Bayesian and Markov chain Monte Carlo methods. Two priors are proposed and put into comparisons in parameter estimation and prediction of future values. The advantages of Bayesian approach over maximum likelihood method are demonstrated by both real and simulated data.
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty
- Applied Mathematics