自回归模型参数的贝叶斯估计

Bayesian Estimation of Parameters of AR (p) Model

本文中我们讨论了误差为T分市的自回归模型,在参数满足Jeffreys型先验分布条件下,得出了多数的贝叶斯估计,并证明了参数估计相容性.

AR (p) model with multivariate Student-Error terms is proposed in this paper. Under the assumption that the prior distribution of the parameters is Jeffreys, both Bayesian estimation of the parameters and proof of the consistency of the estimation are given.