User muffin1974

18 votes

2 answers

2k views

What is the problem with empirical priors?

asked Jun 14, 2015 at 15:28

8 votes

1 answer

364 views

Bayesian regression with singular $(X'X)$ - Is the posterior well-defined?

regression bayesian variance posterior singular

asked Oct 21, 2015 at 12:32

8 votes

0 answers

4k views

Stationary vs Stability

time-series stationarity vector-autoregression

asked Nov 3, 2015 at 8:48

7 votes

1 answer

3k views

Distribution of sum of independent exponentials with random number of summands

distributions exponential-family truncation

asked Feb 22, 2019 at 10:48

5 votes

1 answer

481 views

Issues with Importance sampling for flat prior

bayesian monte-carlo t-distribution importance-sampling uninformative-prior

asked Nov 25, 2015 at 14:10

5 votes

1 answer

827 views

How to perform a sensitivity analysis in Bayesian statistics?

bayesian inference prior

asked Oct 24, 2015 at 19:46

5 votes

0 answers

218 views

Distribution of $X'X$ if $X\in\mathbb{R}^{T \times N}$ and $X_i'\sim N(\mu,\sigma^2I_N)$

normal-distribution mathematical-statistics

asked May 29, 2015 at 14:58

4 votes

1 answer

2k views

Posterior of the linear regression model with g-Prior

regression bayesian prior posterior linear

asked Oct 22, 2015 at 16:14

4 votes

1 answer

558 views

Multivariate Bayesian Testing with an F-test

hypothesis-testing bayesian regression-coefficients f-test

asked Oct 23, 2015 at 16:06

4 votes

1 answer

2k views

Ratio of Gamma distributed variables with different parameters

distributions prior gamma-distribution

asked Jul 14, 2016 at 18:57

4 votes

1 answer

435 views

Bayesian Model Averaging with MCMC draws

self-study bayesian markov-chain-montecarlo posterior model-averaging

asked Sep 27, 2016 at 13:29

3 votes

0 answers

222 views

How to set up a proper prior sensitivity analysis?

bayesian prior sensitivity-analysis

asked Oct 4, 2016 at 7:18

3 votes

0 answers

1k views

Bayesian estimation of Dynamic Regression with AR(1) parameters

r regression bayesian gibbs state-space-models

asked Jan 17, 2017 at 9:17

3 votes

1 answer

182 views

Covariance of $a \otimes b$ for independent random variables $a$ and $b$

covariance independence covariance-matrix

asked Dec 3, 2017 at 16:07

3 votes

0 answers

101 views

MCMC in Gibbs: Threshold Multivariate Linear Regression [closed]

self-study bayesian markov-chain-montecarlo threshold

asked Jun 26, 2019 at 14:08

3 votes

1 answer

313 views

Setting up a MCMC scheme for Multivariate Stochastic Volatility

bayesian factor-analysis markov-chain-montecarlo hierarchical-bayesian volatility-forecasting

asked Dec 20, 2015 at 15:28

3 votes

0 answers

211 views

Derive Marginal Posterior to set up Gibbs-Sampler

bayesian markov-chain-montecarlo posterior gibbs

asked Mar 14, 2016 at 15:25

3 votes

0 answers

393 views

Does a closed form marginal posterior exist for regression coefficients in hierarchical linear model?

regression bayesian hierarchical-bayesian

asked Oct 26, 2015 at 13:04

2 votes

2 answers

289 views

How to choose a importance density for Jeffreys prior?

bayesian simulation importance-sampling jeffreys-prior improper-prior

asked Nov 23, 2015 at 9:52

2 votes

0 answers

218 views

Stability of VAR$(p)$: Prove $\det(I_{Kp}-\tilde{A}z)=\det(I_k-A_1z-\ldots-A_pz^p)$

self-study multivariate-analysis vector-autoregression determinant

asked Nov 3, 2015 at 8:31

2 votes

1 answer

3k views

Square root algorithm (Kalman Filter)

r covariance kalman-filter matrix-decomposition

asked Jan 5, 2017 at 17:27

2 votes

0 answers

749 views

MLE estimation: Inverse gamma duration model with exogenous variables

maximum-likelihood survival hazard inverse-gamma-distribution

asked Aug 21, 2018 at 9:21

2 votes

1 answer

67 views

Variable Selection and Model Likelihood

bayesian feature-selection posterior model-averaging

asked Aug 17, 2017 at 16:15

1 vote

0 answers

136 views

Regression of product $XY$ on $X$

multiple-regression regression-coefficients

asked Nov 20, 2017 at 20:18

1 vote

1 answer

433 views

Numerical evaluation of predictive likelihood

bayesian predictive-models posterior model-evaluation

asked Nov 9, 2016 at 9:53

1 vote

0 answers

82 views

Optimal prediction pools in practice

bayesian predictive-models markov-chain-montecarlo

asked Feb 19, 2016 at 13:12

1 vote

0 answers

81 views

Comparing two Importance Densities for Bayesian Inference

bayesian importance-sampling

asked Nov 23, 2015 at 14:10

1 vote

1 answer

150 views

Reference request: Conditional posterior for bayesian hierarchical linear regression model

regression bayesian references hierarchical-bayesian

asked Oct 26, 2015 at 20:40

1 vote

1 answer

306 views

Can a joint second moment exist if the joint distribution cannot be derived?

covariance non-independent

asked Oct 25, 2015 at 18:42

1 vote

0 answers

35 views

Estimation Error when neglecting $\mu$ while computing Covariance-Matrix

estimation error covariance-matrix

asked Jun 9, 2015 at 11:41

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33 Questions

What is the problem with empirical priors?

Bayesian regression with singular $(X'X)$ - Is the posterior well-defined?

Stationary vs Stability

Distribution of sum of independent exponentials with random number of summands

Issues with Importance sampling for flat prior

How to perform a sensitivity analysis in Bayesian statistics?

Distribution of $X'X$ if $X\in\mathbb{R}^{T \times N}$ and $X_i'\sim N(\mu,\sigma^2I_N)$

Posterior of the linear regression model with g-Prior

Multivariate Bayesian Testing with an F-test

Ratio of Gamma distributed variables with different parameters

Bayesian Model Averaging with MCMC draws

How to set up a proper prior sensitivity analysis?

Bayesian estimation of Dynamic Regression with AR(1) parameters

Covariance of $a \otimes b$ for independent random variables $a$ and $b$

MCMC in Gibbs: Threshold Multivariate Linear Regression [closed]

Setting up a MCMC scheme for Multivariate Stochastic Volatility

Derive Marginal Posterior to set up Gibbs-Sampler

Does a closed form marginal posterior exist for regression coefficients in hierarchical linear model?

How to choose a importance density for Jeffreys prior?

Stability of VAR$(p)$: Prove $\det(I_{Kp}-\tilde{A}z)=\det(I_k-A_1z-\ldots-A_pz^p)$

Square root algorithm (Kalman Filter)

MLE estimation: Inverse gamma duration model with exogenous variables

Variable Selection and Model Likelihood

Regression of product $XY$ on $X$

Numerical evaluation of predictive likelihood

Optimal prediction pools in practice

Comparing two Importance Densities for Bayesian Inference

Reference request: Conditional posterior for bayesian hierarchical linear regression model

Can a joint second moment exist if the joint distribution cannot be derived?

Estimation Error when neglecting $\mu$ while computing Covariance-Matrix