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Activity Number: 356
Type: Invited
Date/Time: Wednesday, August 9, 2006 : 8:30 AM to 10:20 AM
Sponsor: Business and Economics Statistics Section
Abstract - #305095
Title: Objective Bayesian Analysis for Multivariate Dynamic Models
Author(s): Dongchu Sun*+ and Shawn Ni
Companies: Virginia Polytechnic Institute and State University/University of Missouri-Columbia and University of Missouri-Columbia
Address: 146 Middlebush Hall, Columbia, MO, 65210,
Keywords: objective Bayesian ; state-space models
Abstract:

It is well-known that dynamic or state-space models have been successful in practice. Bayesian multivariate dynamic models have received a lot of attention lately. Due to the large number of unknown parameters included in the models, the Bayesian estimates are sensitive to the choice of the priors. In this paper, we review the objective Bayesian analysis for a univariate dynamic model and explore the various choices of objective priors for a multivariate dynamic model.

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