We consider the problem of deriving formal objective priors for the causal/stationary autoregressive model of order p. We compare the frequentist behaviour of the most common default priors, namely the uniform (over the stationarity region) prior, the Jeffreys' prior and the reference prior.
Objective priors for causal AR(p) with partial autocorrelations / Liseo, Brunero; Christian, Macaro. - In: JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION. - ISSN 0094-9655. - STAMPA. - 83:9(2013), pp. 1613-1628. [10.1080/00949655.2012.667409]
Objective priors for causal AR(p) with partial autocorrelations
LISEO, Brunero;
2013
Abstract
We consider the problem of deriving formal objective priors for the causal/stationary autoregressive model of order p. We compare the frequentist behaviour of the most common default priors, namely the uniform (over the stationarity region) prior, the Jeffreys' prior and the reference prior.File allegati a questo prodotto
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