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International Conference on Engineering and Business Management (EBM 2010 PAPERBACK)

Chengdu,China,China,3.24-3.26,2010

ISBN: 978-1-935068-05-1 Scientific Research Publishing, USA

Paperback 6066pp Pub. Date: March 2010

Category: Engineering

Price: $280

Title: ARMA Model of International Crude Oil Prices Is Estimated That the MCMC Method
Source: International Conference on Engineering and Business Management (EBM 2010 PAPERBACK) (pp 5879-5883)
Author(s): Jingui Wu, South China University of Technology School of Business Administration，Gugangzhou Guangdong province 510640
Abstract: Abstract: This article collects the international brent crude oil price in 1994—2009 of time-series data, and set up the ARIMA (p, d, q) model. In the ARMA model parameter estimation, this paper models in winbugs packages and uses the Markov chain Monte Carlo (MCMC) method to estimate. This article also gives the Parameter estimate of the ARIMA (1, 1, 1) mode of brent crude oil prices: the regression coefficient is -0.1011; moving average parameter is 0.5597; Precision parameter is 79.3.
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