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

DOI10.1111/1467-9892.00307zbMATH Open1051.62026OpenAlexW1997334880MaRDI QIDQ4828155FDOQ4828155

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

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zbMATH Keywords

credible intervalJeffreys priordivergence measureAR-modeldefault priorsthree-group reference priortwo-group reference prior

Mathematics Subject Classification ID

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

Cites Work

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• On the invariance of noninformative priors
• Methods of Measuring the Marginal Propensity to Consume
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Cited In (7)

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

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