- Tytuł:
- A Note on Compatible Prior Distributions in Univariate Finite Mixture and Markov-Switching Models
- Autorzy:
- Kwiatkowski, Łukasz
- Powiązania:
- https://bibliotekanauki.pl/articles/2076512.pdf
- Data publikacji:
- 2016
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
Bayesian inference
prior coherence
prior compatibility
exponential family - Opis:
- Finite mixture and Markov-switching models generalize and, therefore, nest specifications featuring only one component. While specifying priors in the general (mixture) model and its special (single-component) case, it may be desirable to ensure that the prior assumptions introduced into both structures are compatible in the sense that the prior distribution in the nested model amounts to the conditional prior in the mixture model under relevant parametric restriction. The study provides the rudiments of setting compatible priors in Bayesian univariate finite mixture and Markov-switching models. Once some primary results are delivered, we derive specific conditions for compatibility in the case of three types of continuous priors commonly engaged in Bayesian modeling: the normal, inverse gamma, and gamma distributions. Further, we study the consequences of introducing additional constraints into the mixture model’s prior on the conditions. Finally, the methodology is illustrated through a discussion of setting compatible priors for Markov-switching AR(2) models.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2015, 4; 219-247
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł