Objective priors for causal AR(p) with partial autocorrelations |
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| Authors: | Brunero Liseo Christian Macaro |
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| Institution: | 1. Dipartimento di metodi e modelli per il territorio l'economia e la finanza , Università di Roma ‘La Sapienza’ , Via del Castro Laurenziano, 9, I-00161 , Roma , Italia brunero.liseo@uniroma1.it;3. SAS Institute, SAS Campus Drive , CARY , NC , 27513 , USA |
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| Abstract: | We consider the problem of deriving formal objective priors for the causal/stationary autoregressive model of order p. We compare the frequentist behaviour of the most common default priors, namely the uniform (over the stationarity region) prior, the Jeffreys’ prior and the reference prior. |
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| Keywords: | Bayesian inference complex roots dependent data Jeffreys’ prior |
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