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Noninformative priors and frequentist risks of bayesian estimators of vector-autoregressive models

✍ Scribed by Shawn Ni; Dongchu Sun

Book ID
108432673
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
330 KB
Volume
115
Category
Article
ISSN
0304-4076

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Bayesian analysis of vector-autoregressi
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✍ Dongchu Sun; Shawn Ni πŸ“‚ Article πŸ“… 2004 πŸ› Elsevier Science 🌐 English βš– 288 KB

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