- Tytuł:
- A Bayesian significance test of change for correlated observations
- Autorzy:
- Slama, Abdeldjalil
- Powiązania:
- https://bibliotekanauki.pl/articles/729738.pdf
- Data publikacji:
- 2014
- Wydawca:
- Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
- Tematy:
-
autoregressive model
change point
HPD region sets
p-value
Gibbs sampler - Opis:
- This paper presents a Bayesian significance test for a change in mean when observations are not independent. Using a noninformative prior, a unconditional test based on the highest posterior density credible set is determined. From a Gibbs sampler simulation study the effect of correlation on the performance of the Bayesian significance test derived under the assumption of no correlation is examined. This paper is a generalization of earlier studies by KIM (1991) to not independent observations.
- Źródło:
-
Discussiones Mathematicae Probability and Statistics; 2014, 34, 1-2; 51-62
1509-9423 - Pojawia się w:
- Discussiones Mathematicae Probability and Statistics
- Dostawca treści:
- Biblioteka Nauki
Artykuł