Search Results - subject:"Jeffreys' prior"

Estimation of probabilities for ordered sets and application to calibration of rating models

Serenelli, Gustavo F.; Delfau, Emiliano - 2023

, through which, using a multidimensional Jeffreys prior, a posterior distribution may be inferred for each of the probabilities …

Persistent link: https://www.econbiz.de/10014546045

Estimation of probabilities for ordered sets and application to calibration of rating models

Serenelli, Gustavo F.; Delfau, Emiliano - 2023

, through which, using a multidimensional Jeffreys prior, a posterior distribution may be inferred for each of the probabilities …

Persistent link: https://www.econbiz.de/10014246996

Objective Bayesian meta-analysis based on generalized multivariate random effects model

Bodnar, Olha; Bodnar, Taras - 2021

prior and the Jeffreys prior, whose analytical expressions are obtained under weak distributional assumptions. It is shown …

Persistent link: https://www.econbiz.de/10012654475

Objective Bayesian meta-analysis based on generalized multivariate random effects model

Bodnar, Olha; Bodnar, Taras - 2021

Persistent link: https://www.econbiz.de/10012604816

Full Bayesian inference for asymmetric Garch models with student-t innovations

da Fonseca, Thaís C. O.; Cerqueira, Vinícius dos Santos; … - 2016

In this work, we consider modeling the past volatilities through an asymmetric generalised autoregressive conditional heteroskedasticity (Garch) model with heavy tailed sampling distributions. In particular, we consider the Student-t model with unknown degrees of freedom and indicate how it may...

Persistent link: https://www.econbiz.de/10012234227

Jeffreys Priors for Mixture Models

Robert, Christian P.; Grazian, Clara - Université Paris-Dauphine (Paris IX) - 2014

Mixture models may be a useful and flexible tool to describe data with a complicated structure, for instance characterized by multimodality or asymmetry. In a Bayesian setting, it is a well established fact that one need to be careful in using improper prior distributions, since the posterior...

Persistent link: https://www.econbiz.de/10010781512

Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables

Chao, John C.; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1998

This paper analyzes the behavior of posterior distributions under the Jeffreys prior in a simultaneous equations model …. The case under study is that of a general limited information setup with n + 1 endogenous variables. The Jeffreys prior is … just-identified orthonormal canonical model, where the posterior density under the Jeffreys prior is shown to have the same …

Persistent link: https://www.econbiz.de/10005463888

Price Competition for an Informed Buyer

Moscarini, Giuseppe; Ottaviani, Marco - Cowles Foundation for Research in Economics, Yale University - 1998

paper analyzes the behavior of posterior distributions under the Jeffreys prior in a simultaneous equations model. The case … under study is that of a general limited information setup with n + 1 endogenous variables. The Jeffreys prior is shown to …-identified orthonormal canonical model, where the posterior density under the Jeffreys prior is shown to have the same functional form as the …

Persistent link: https://www.econbiz.de/10005634741

Reference Priors For Non-Normal Two-Sample Problems

Fernández, C.; Steel, M.F.J. - Tilburg University, Center for Economic Research - 1997

The reference prior algorithm (Berger and Bernardo, 1992) is applied to locationscale models with any regular sampling density. A number of two-sample problems is analyzed in this general context, extending the dierence, ratio and product of Normal means problems outside Normality, while...

Persistent link: https://www.econbiz.de/10011090629

Reference Priors for the General Location-Scale Model

Fernández, C.; Steel, M.F.J. - Tilburg University, Center for Economic Research - 1997

of the scale parameter, as it is found to be both the independence Jeffreys' prior and the reference prior under …

Persistent link: https://www.econbiz.de/10011091094