The Bayes approach in multiple autoregressive series

are uncorrelated and each of them has the unit covariance matrix. The Bayes approach is applied to the problem of estimating the autoregressive parameters under condition that the matrix

A_{0}

is diagonal. The "vague" prior distribution is supposed. It is proved that the point estimates coincide with the least squares estimates. The posterior distribution of these parameters is given in a simple form. The results are derived without the assumption that

{X_{t}}

is the stationary series.

MR Zbl

DOI : 10.21136/AM.1971.103348

Classification : 62H10

@article{10_21136_AM_1971_103348,
     author = {And\v{e}l, Ji\v{r}{\'\i}},
     title = {The {Bayes} approach in multiple autoregressive series},
     journal = {Applications of Mathematics},
     pages = {220--228},
     publisher = {mathdoc},
     volume = {16},
     number = {3},
     year = {1971},
     doi = {10.21136/AM.1971.103348},
     mrnumber = {0290498},
     zbl = {0231.62069},
     language = {en},
     url = {https://geodesic-test.mathdoc.fr/articles/10.21136/AM.1971.103348/}
}

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Anděl, Jiří. The Bayes approach in multiple autoregressive series. Applications of Mathematics, Tome 16 (1971) no. 3, pp. 220-228. doi : 10.21136/AM.1971.103348. https://geodesic-test.mathdoc.fr/articles/10.21136/AM.1971.103348/

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