Bayesian Inference for State Space Model with Panel Data
Bayesian Inference for State Space Model with Panel Data
Author(s): Ranjita Pandey, Anoop ChaturvediSubject(s): Economy
Published by: Główny Urząd Statystyczny
Keywords: Bayesian analysis; Gibbs sampler; conditional posterior densities; predictive distribution
Summary/Abstract: The present work explores panel data set-up in a Bayesian state space model. The conditional posterior densities of parameters are utilized to determine the marginal posterior densities using the Gibbs sampler. An efficient one step ahead predictive density mechanism is developed to further the state of art in prediction-based decision making.
Journal: Statistics in Transition. New Series
- Issue Year: 17/2016
- Issue No: 2
- Page Range: 211-220
- Page Count: 9
- Language: English