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Bayesian Analysis of the Regression Model with Autocorrelated Errors

 

作者: Arnold Zellner,   GeorgeC. Tiao,  

 

期刊: Journal of the American Statistical Association  （Taylor Available online 1964）
卷期: Volume 59, issue 307  

页码: 763-778

 

ISSN:0162-1459

 

年代: 1964

 

DOI:10.1080/01621459.1964.10480726

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

In this paper, regression models with error terms generated by a first order autoregressive scheme are analyzed from a Bayesian point of view. Methods are developed for computing posterior distributions of regression coefficients and the parameter of the autoregressive process. The relationship of our approach to sampling theory approaches is briefly discussed.

 

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