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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Time Series Modeling Computation And Inference

ISBN: 9781498747028

2nd Edition

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

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