Default Bayesian Priors for Regression Models with First‐Order Autoregressive Residuals

DOI10.1111/1467-9892.00307MaRDI QIDQ4828155zbMATH OpenOpenAlexFDO

Authors Malay Ghosh, Jungeun Heo

Publication date 24 November 2004

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00307

zbMATH Keywords

AR-modelcredible intervaldefault priorsdivergence measureJeffreys priorthree-group reference priortwo-group reference prior

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric inference (62G99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Methods of Measuring the Marginal Propensity to Consume
• On the invariance of noninformative priors

Cited in

(7)

• A class of shrinkage priors for the dependence structure in longitudinal data
• Noninformative priors for the common mean in the bivariate normal distribution
• Objective priors: an introduction for frequentists
• Discussion on ``Objective priors: an introduction for frequentists by M. Ghosh
• Objective priors for causal \(\mathrm{AR}(p)\) with partial autocorrelations
• Objective Bayesian hypothesis testing in regression models with first-order autoregressive residuals
• Bayesian autoregressive adaptive refined descriptive sampling algorithm in the Monte Carlo simulation

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