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A Bayesian semiparametric approach for trend–seasonal interaction: an application to migration forecasts
Author(s) -
Milivinti Alice,
Benini Giacomo
Publication year - 2019
Publication title -
journal of the royal statistical society: series a (statistics in society)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.103
H-Index - 84
eISSN - 1467-985X
pISSN - 0964-1998
DOI - 10.1111/rssa.12436
Subject(s) - bayesian probability , econometrics , prior probability , semiparametric model , flexibility (engineering) , parametric statistics , set (abstract data type) , computer science , nonparametric statistics , mathematics , statistics , artificial intelligence , programming language
Summary We model complex trend–seasonal interactions within a Bayesian framework. The contribution divides into two parts. First, it proves, via a set of simulations, that a semiparametric specification of the interplay between the seasonal cycle and the global time trend outperforms parametric and non‐parametric alternatives when the seasonal behaviour is represented by Fourier series of order bigger than 1. Second, the paper uses a Bayesian framework to forecast Swiss immigration, merging the simulations’ outcome with a set of priors derived from alternative hypotheses about the future number of incomers. The result is an effective symbiosis between Bayesian probability and semiparametric flexibility that can reconcile past observations with unprecedented expectations.