Work out the details of the Gibbs sampling algorithm sketched in Sec tion 8.1 for obtaining samples
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Work out the details of the Gibbs sampling algorithm sketched in Sec tion 8.1 for obtaining samples from the posterior distribution of the parameters in model (8.1). In particular, show that sampling from the full conditional distributions in Steps 1 and 2 can be achieved via FFBS.
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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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