Consider the linear AR(p) model in Section 12 6 1 Suppose that xh and xh 1 are two missing values with a joint prior distribution being multivariate normal with mean o and covariance matrix o Other prior distributions are the same as that in the text What is the conditional posterior distribution o...

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Consider the linear AR(p) model in Section 12.6.1. Suppose that xh and xh+1 are two missing values

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Consider the linear AR(p) model in Section 12.6.1. Suppose that xh and xh+1 are two missing values with a joint prior distribution being multivariate normal with mean μo and covariance matrix ∑o.

Other prior distributions are the same as that in the text. What is the conditional posterior distribution of the two missing values?

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Analysis Of Financial Time Series

ISBN: 9780471690740

2nd Edition

Authors: Ruey S. Tsay

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Question Posted: Jun 10, 2024 02:05 AM

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Consider the linear AR(p) model in Section 12.6.1. Suppose that xh and xh+1 are two missing values

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Analysis Of Financial Time Series

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