Obtain the INTC adjusted closing prices for the year 2018 and compute the daily returns. Now determine Bayes estimates of the mean and the standard deviation of the returns, similar to the example illustrated in Figures 4.2 through 4.4. For the prior on the mean use \(\mathrm{N}(0,100)\), and for the prior on the variance use the inverse chi-squared distribution with 10 degrees of freedom. (The "inverse chi-squared distribution" is a phrase often used in Bayesian analysis. If \(X\) has the inverse chi-squared distribution, then \(1 / X\) has the chi-squared distribution.)

The JAGS executable program must be installed in a directory accessible by R. It is available from SourceForge.

Figures 4.2:

Transcribed Image Text:

model { # observables for (i in 1:N) { } x[i] dnorm (mu, tau) # priors on parameters } mu dnorm (0, 1.0e-6) tau dchisq(5) sigma <1/sqrt(tau) %#23 the standard deviation