Dynamic Bayesian beta models

• DOI: 10.1016/j.csda.2010.12.011
• Publication Date: 2011-01-06T09:29:01Z
• Authors: C.Q. da-Silva; H.S. Migon; L.T. Correia
• Keywords: 0502 economics and business; 05 social sciences; 0101 mathematics; 01 natural sciences

We develop a dynamic Bayesian beta model for modeling and forecasting single time series of rates or proportions. This work is related to a class of dynamic generalized linear models (DGLMs), although, for convenience, we use non-conjugate priors. The proposed methodology is based on approximate analysis relying on Bayesian linear estimation, nonlinear system of equations solution and Gaussian quadrature. Intentionally we avoid MCMC strategy, keeping the desired sequential nature of the Bayesian analysis. Applications to both real and simulated data are provided.