[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.5351/KJAS.2003.16.1.141

Bayesian Method for the Multiple Test of an Autoregressive Parameter in Stationary AR(L) Model

김경숙 (전남대학교 자연과학대학 통계학과)
손영숙 (전남대학교 자연과학대학 통계학과)

Publication Information

The Korean Journal of Applied Statistics / v.16, no.1, 2003 , pp. 141-150 More about this Journal

Abstract

This paper presents the multiple testing method of an autoregressive parameter in stationary AR(1) model using the usual Bayes factor. As prior distributions of parameters in each model, uniform prior and noninformative improper priors are assumed. Posterior probabilities through the usual Bayes factors are used for the model selection. Finally, to check whether these theoretical results are correct, simulated data and real data are analyzed.

Keywords

AR(1) model; autoregressive parameter; Bayes factor; noninformative prior; posterior probability;

Citations & Related Records

Times Cited By KSCI : 2 (Citation Analysis)

Reference
Cited By KSCI

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KSCI

Bayesian Method for the Multiple Test of an Autoregressive Parameter in Stationary AR(L) Model AR(1)모형에서 자기회귀계수의 다중검정을 위한 베이지안방법

Bayesian Method for the Multiple Test of an Autoregressive Parameter in Stationary AR(L) Model