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A bayesian analysis of autoregressive models with random normal coefficients

✍ Scribed by Sáfadi, Thelma; Morettin, Pedro

Book ID
126578454
Publisher
Taylor and Francis Group
Year
2003
Tongue
English
Weight
152 KB
Volume
73
Category
Article
ISSN
0094-9655

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In this paper, we investigate the properties of Bayes estimators of vector autoregression (VAR) coe cients and the covariance matrix under two commonly employed loss functions. We point out that the posterior mean of the variances of the VAR errors under the Je reys prior is likely to have an over-e