Default Bayesian Priors for Regression Models with First‐Order Autoregressive Residuals

DOI10.1111/1467-9892.00307zbMath1051.62026OpenAlexW1997334880MaRDI QIDQ4828155

Malay Ghosh, Jungeun Heo

Publication date: 24 November 2004

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00307

zbMATH Keywords

default priorsJeffreys priordivergence measurecredible intervalAR-modelthree-group reference priortwo-group reference prior

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Nonparametric inference (62G99)

Related Items (5)

A class of shrinkage priors for the dependence structure in longitudinal data ⋮ Bayesian autoregressive adaptive refined descriptive sampling algorithm in the Monte Carlo simulation ⋮ Objective priors: an introduction for frequentists ⋮ Discussion on ``Objective priors: an introduction for frequentists by M. Ghosh ⋮ Noninformative priors for the common mean in the bivariate normal distribution

Cites Work

• On the invariance of noninformative priors
• Methods of Measuring the Marginal Propensity to Consume
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