Bayesian forecasting with changing linear models |
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Authors: | Land Margaret Broemeling Lyle |
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Institution: | 1. Texas A and I University , Kingsville, Texas;2. Oklahoma State University , Stillwater, Oklahoma, 74078 |
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Abstract: | This investigation considers a general linear model which changes parameters exactly once during the observation period. Assuming all the parameters are unknown and a proper prior distribution, the Bayesian predictive distribution of the future observations is derived. It is shown that the predictive distribution is a mixture of multivariate t distributions and that the mixing distribution is the marginal posterior mass function of the change point parameter. |
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Keywords: | mixture multivariate t distributions change point parameter transition function |
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