误差修正机制转换模型的贝叶斯估计

Bayesian Estimation of Error Correction Regime Switching Model

用贝叶斯估计法来估计误差修正机制转换模型的参数。通过先验分布的设定和贝叶斯定理,求出该模型参数的后验分布,接着使用基于Gibbs抽样的贝叶斯估计技术进行参数估计,最后对贝叶斯估计方法进行统计模拟,模拟结果表明:该方法可以稳健的估计该模型的参数。

Bayesian estimation method is used to estimate the parameters of error correction regime switching model. By setting the prior distribution and Bayesian Theorem, the paper obtains the posterior distribution of the model parameters, and then uses Bayesian estima- tion technology based on Gibbs sampling to estimate parameters, finally, it uses Bayesian estimation method to make a statistical simu- lation. The results of the simulation show that the approach can estimate the model parameters robustly.