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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Time Series Modeling Computation And Inference

ISBN: 9781498747028

2nd Edition

Authors: Raquel Prado, Marco A. R. Ferreira, Mike West

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