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Bayesian analysis of non-negative ar(2) processes

 

作者: Jiri Andel,   Manuel Garrido,  

 

期刊: Statistics  (Taylor Available online 1991)
卷期: Volume 22, issue 4  

页码: 579-588

 

ISSN:0233-1888

 

年代: 1991

 

DOI:10.1080/02331889108802338

 

出版商: Akademie-Verlag

 

关键词: Autoregressive process;BAYESian approach;non-negative veriables;strongly consistent

 

数据来源: Taylor

 

摘要:

A non-negative AR(2) process with exponentially distributed white noise is investigated in the paper. It is assumed that the autoregressive parameters are random variables with a vague prior density. They can be esto,ated by their posterior expectations. Explicit formulas for these estimators are derived and their strong consistency is proved. An approximation to the estimators is proposed which is easier for calculation. The results are illustrated in a simulation study

 

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