The Bayesian Estimate of Vector Autoregressive Model Parameters Adopt Informative Prior Information
This research included the bayesian estimate for vector Autoregressive model with rank (p) in addition to statistical tests and predict Bayesian when the random error of model followed generalized multivariate modified Bessel distribution. The prior information about the parameters of model is repr...
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| Format: | Article |
| Language: | English |
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Tikrit University
2023-01-01
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| Series: | Tikrit Journal of Pure Science |
| Subjects: | |
| Online Access: | https://tjpsj.org/index.php/tjps/article/view/781 |
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| _version_ | 1849704196561960960 |
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| author | Haifaa Abdulgawwad Saeed Wasfi Taher Saleh Mahasen Saleh Al-Talib |
| author_facet | Haifaa Abdulgawwad Saeed Wasfi Taher Saleh Mahasen Saleh Al-Talib |
| author_sort | Haifaa Abdulgawwad Saeed |
| collection | DOAJ |
| description |
This research included the bayesian estimate for vector Autoregressive model with rank (p) in addition to statistical tests and predict Bayesian when the random error of model followed generalized multivariate modified Bessel distribution. The prior information about the parameters of model is represented by probability distributions belong to conjugate families. It found that the posterior marginal probability distribution for parameters matrix (Φ) is a Matrix t distribution, The posterior marginal probability distribution of covariance matrix (Σ) is uncommon and the predictive probability distribution of future observations vector is multivariate t distribution.
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| format | Article |
| id | doaj-art-d8ebaf90aebc40149b7c956afdeb1dc7 |
| institution | DOAJ |
| issn | 1813-1662 2415-1726 |
| language | English |
| publishDate | 2023-01-01 |
| publisher | Tikrit University |
| record_format | Article |
| series | Tikrit Journal of Pure Science |
| spelling | doaj-art-d8ebaf90aebc40149b7c956afdeb1dc72025-08-20T03:16:51ZengTikrit UniversityTikrit Journal of Pure Science1813-16622415-17262023-01-0122510.25130/tjps.v22i5.781The Bayesian Estimate of Vector Autoregressive Model Parameters Adopt Informative Prior InformationHaifaa Abdulgawwad SaeedWasfi Taher SalehMahasen Saleh Al-Talib This research included the bayesian estimate for vector Autoregressive model with rank (p) in addition to statistical tests and predict Bayesian when the random error of model followed generalized multivariate modified Bessel distribution. The prior information about the parameters of model is represented by probability distributions belong to conjugate families. It found that the posterior marginal probability distribution for parameters matrix (Φ) is a Matrix t distribution, The posterior marginal probability distribution of covariance matrix (Σ) is uncommon and the predictive probability distribution of future observations vector is multivariate t distribution. https://tjpsj.org/index.php/tjps/article/view/781EstimateVector Autoregressive ModelPrior Information |
| spellingShingle | Haifaa Abdulgawwad Saeed Wasfi Taher Saleh Mahasen Saleh Al-Talib The Bayesian Estimate of Vector Autoregressive Model Parameters Adopt Informative Prior Information Tikrit Journal of Pure Science Estimate Vector Autoregressive Model Prior Information |
| title | The Bayesian Estimate of Vector Autoregressive Model Parameters Adopt Informative Prior Information |
| title_full | The Bayesian Estimate of Vector Autoregressive Model Parameters Adopt Informative Prior Information |
| title_fullStr | The Bayesian Estimate of Vector Autoregressive Model Parameters Adopt Informative Prior Information |
| title_full_unstemmed | The Bayesian Estimate of Vector Autoregressive Model Parameters Adopt Informative Prior Information |
| title_short | The Bayesian Estimate of Vector Autoregressive Model Parameters Adopt Informative Prior Information |
| title_sort | bayesian estimate of vector autoregressive model parameters adopt informative prior information |
| topic | Estimate Vector Autoregressive Model Prior Information |
| url | https://tjpsj.org/index.php/tjps/article/view/781 |
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