Bayesian Inference for State Space Model with Panel Data

• Authors: Pandey Ranjita , Chaturvedi Anoop
• Languages of publication: EN

Abstracts

EN

The present work explores panel data set-up in a Bayesian state space model. The conditional posterior densities of parameters are utilized to determine the marginal posterior densities using the Gibbs sampler. An efficient one step ahead predictive density mechanism is developed to further the state of art in prediction-based decision making.

Keywords

EN

Bayesian analysis; Gibbs sampler; conditional posterior densities; predictive distribution

• Publisher: Główny Urząd Statystyczny
• Journal: Statistics in Transition new series
• Year: 2016
• Volume: 17
• Issue: 2
• Pages: 211-220

Contributors

author

Pandey Ranjita

• Department of Statistics, University of Delhi

author

Chaturvedi Anoop

• Department of Statistics, University of Allahabad

References

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