Risks of Using Improper Priors with Gibbs Sampling and Autocorrelated Errors

Autor:	Judy L. Palmer, Lawrence Pettit
Rok vydání:	1996
Předmět:	Statistics and Probability Autocorrelation coefficient Autocorrelation Statistics::Computation symbols.namesake Simple (abstract algebra) Linear regression Statistics Prior probability symbols Discrete Mathematics and Combinatorics Statistics Probability and Uncertainty Mathematics Gibbs sampling
Zdroj:	Journal of Computational and Graphical Statistics. 5:245-249
ISSN:	1537-2715 1061-8600
DOI:	10.1080/10618600.1996.10474709
Popis:	In this article we examine the use of Gibbs sampling to estimate the autocorrelation coefficient in a linear regression model. Researchers had previously experienced difficulty with moderate-to-high positive autocorrelated errors; estimates could be unstable and sometimes failed to converge. We show that the cause of this problem is that the use of an improper prior leads to an improper posterior, although the conditionals are proper, and hence a formal Gibbs sampler can be constructed. The problem is solved by the use of a vague but proper prior. In this simple case many of the calculations can be done analytically and it serves as a warning as to the uncritical use of improper priors with Gibbs sampling.
Databáze:	OpenAIRE
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