Bayesian estimate of model AR(p) coefficients and its posterior distribution
2001
The Bayesian estimate of model AR(p) coefficients may be transformed into the LS estimate under a quadratic loss by the Jeffrey fuzzy prior principle through analysis of the probability distribution density function, and the posterior distribution is given.
Keywords:
- Bayesian linear regression
- Categorical distribution
- Inverse-Wishart distribution
- Econometrics
- Compound probability distribution
- Inverse-gamma distribution
- Maximum a posteriori estimation
- Mathematics
- Bayesian hierarchical modeling
- Inverse-chi-squared distribution
- Statistics
- Conjugate prior
- Applied mathematics
- Posterior probability
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