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Bayesian analysis of conditional autoregressive models

โœ Scribed by Victor De Oliveira

Publisher
Springer Japan
Year
2010
Tongue
English
Weight
486 KB
Volume
64
Category
Article
ISSN
0020-3157

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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