We define a subclass of dynamic linear models with unknown hyperparameters called d-inverse-gamma models. We then approximate the marginal p.d.f.s of the hyperparameter and the state vector by the data augmentation algorithm of Tanner/Wong. We prove that the regularity conditions for convergence hold. A sampling based scheme for practical implementation is discussed. Finally, we illustrate how to obtain an iterative importance sampling estimate of the model likelihood. (author's abstract) / Series: Forschungsberichte / Institut für Statistik
Identifer | oai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:epub-wu-01_a19 |
Date | January 1992 |
Creators | Frühwirth-Schnatter, Sylvia |
Publisher | Department of Statistics and Mathematics, WU Vienna University of Economics and Business |
Source Sets | Wirtschaftsuniversität Wien |
Language | English |
Detected Language | English |
Type | Paper, NonPeerReviewed |
Format | application/pdf |
Relation | http://epub.wu.ac.at/392/ |
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