Refer to the conjugate analysis of the AR(1) model in Example 1.7. Using the fact that (
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Refer to the conjugate analysis of the AR(1) model in Example 1.7.
Using the fact that ( yFv) N(mvC), nd the posterior mode of v via the EM algorithm.
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Related Book For
Time Series Modeling Computation And Inference
ISBN: 9781498747028
2nd Edition
Authors: Raquel Prado, Marco A. R. Ferreira, Mike West
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