Intrinsic Bayesian estimation of linear time series models
Intrinsic loss functions (such as the Kullback–Leibler divergence, i.e. the entropy loss) have been used extensively in place of conventional loss functions for independent samples. But applications in serially correlated samples are scant. In the present study, we examine Bayes estimator of Linear...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2021-10-01
|
| Series: | Statistical Theory and Related Fields |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/24754269.2020.1744073 |