Kullback-Leibler divergence to evaluate posterior sensitivity to different priors for autoregressive time series models

DOI10.1080/03610918.2017.1410709OpenAlexW2791087833MaRDI QIDQ5085931

Ayman A. Amin

Publication date: 30 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2017.1410709

zbMATH Keywords

Jeffreys' priorKullback-Leibler divergencemultivariate t distributionnatural conjugate priorg-priordistance of posteriorsKullback-Leibler calibration

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series analysis of dynamical systems (37M10)

Related Items (3)

Bayesian identification of double seasonal autoregressive time series models ⋮ Gibbs sampling for Bayesian estimation of triple seasonal autoregressive models ⋮ Bayesian analysis of double seasonal autoregressive models

Uses Software

• astsa

Cites Work

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• Bayesian Identification of Moving Average Models
• On Information and Sufficiency
• On Bayesian Identification of Autoregressive Processes
• Bayesian Inference for Double Seasonal Moving Average Models: A Gibbs Sampling Approach
• Benchmark priors for Bayesian model averaging.

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