Bayesian estimation of the mean of an autoregressive process

被引：6

作者：

Broemeling, Lyle D. ^{[1
]}

Cook, Peyton ^{[2
]}

机构：

[1] Univ Texas Med Branch, Galveston, TX USA

[2] Univ Tulsa, Tulsa, OK 74104 USA

来源：

JOURNAL OF APPLIED STATISTICS | 1993年 / 20卷 / 01期

关键词：

D O I：

10.1080/02664769300000003

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The marginal posterior probability density function (pdf) for the mean of a stationary pth order Gaussian autoregressive process is derived using the conditional likelihood function. While the posterior pdf provides a small sample analysis, the pdf is not well known and must be analyzed numerically. This is relatively easy since it is a function of only one variable. Two sets of examples are presented. The first set involves synthetic data generated by computer, and the second set deals with energy expenditure data on a burn patient.

引用

页码：25 / 39

页数：15