PL EN


2011 | 3 | 1 | 39-47
Article title

Bayesian Variations on the Frisch and Waugh Theme

Content
Title variants
Languages of publication
EN
Abstracts
EN
The paper is devoted to discussing consequences of the so-called Frisch-Waugh Theorem to posterior inference and Bayesian model comparison. We adopt a generalised normal linear regression framework and weaken its assumptions in order to cover non-normal, jointly elliptical sampling distributions, autoregressive specifications, additional nuisance parameters and multi-equation SURE or VAR models. The main result is that inference based on the original full Bayesian model can be obtained using transformed data and reduced parameter spaces, provided the prior density for scale or precision parameters is appropriately modified.
Year
Volume
3
Issue
1
Pages
39-47
Physical description
Dates
received
2011-11-19
accepted
2011-12-09
Contributors
References
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-f6fac26f-5512-40f1-a5d8-e9b9d78d7be6
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