This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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659
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Type:
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Topic Contributed
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Date/Time:
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Thursday, August 5, 2010 : 10:30 AM to 12:20 PM
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Sponsor:
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Section on Bayesian Statistical Science
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Abstract - #309053 |
Title:
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Bayesian Estimation and Hypothesis Testing of AutoRegressive Models under a Reference Prior
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Author(s):
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Shawn Ni*+ and Dongchu Sun
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Companies:
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University of Missouri and University of Missouri
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Address:
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118 Professional Building , Columbia , MO, 65211,
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Keywords:
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reference prior ;
partial correlation
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Abstract:
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We propose a noninformative reference prior for AR(p) regression coefficients. The reference prior is proper in the stationary and nonstationary regions of the parameter space. We examine the properties of the posterior under the proposed reference prior and conduct Bayesian hypothesis testing.
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