The Bayesian Estimate of Vector Autoregressive Model Parameters Adopt Informative Prior Information
نویسندگان
چکیده
This research included the bayesian estimate for vector Autoregressive model with rank (p) in addition to statistical tests and predict Bayesian when random error of followed generalized multivariate modified Bessel distribution. The prior information about parameters is represented by probability distributions belong conjugate families. It found that posterior marginal distribution matrix (Φ) a Matrix t distribution, covariance (Σ) uncommon predictive future observations distribution.
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ژورنال
عنوان ژورنال: Ma?alla? Tikr?t li-l-?ul?m al-?irfa?
سال: 2023
ISSN: ['2415-1726', '1813-1662']
DOI: https://doi.org/10.25130/tjps.v22i5.781