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Results tagged with bayesian
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user 119844
Bayesian inference is a method of statistical inference that relies on treating the model parameters as random variables and applying Bayes' theorem to deduce subjective probability statements about the parameters or hypotheses, conditional on the observed dataset.
2
votes
1
answer
677
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Metropolis Hastings proposal for one parameter restricted to less than the other
Suppose I have parameters $\theta_0$ and $\theta_1$ with prior
$$ p(\theta_0,\theta_1)=p(\theta_0|\theta_0<\theta_1)p(\theta_1),$$
that is, $\theta_0$ is less than $\theta_1$. The distributions are …
- 37
1
vote
0
answers
158
views
help interpreting plot of MCMC sample
I am estimating a model using MCMC (Gibbs Sampling). Because of the complexity of the model, I have been running two chains with many iterations.
A plot of the draws for each parameter reveals a spi …
- 37
0
votes
2
answers
562
views
stationarity of vector autoregression and Gibbs sampling
I'm estimating a vector autoregression (VAR) using Gibbs sampling. At each iteration, I'd like to check the coefficients to ensure the VAR is stationary. An older, related question has been posted her …
- 37
0
votes
1
answer
571
views
prior for initial values of Kalman Filter
I'm studying Carter and Kohn's (1994) implementation of the Gibbs sampler for Bayesian analysis of state space models. …
- 37