Deriving conditional distributions of AR(1) process with drift
I have an AR(1) process with drift:
$y_t=μ+ρ_{t-1}+ε_t$
with the errors following AR(1) process: $ε_t=φε_{t-1}+u_t$
for $t=1, ..., T; ε_0=0$; and $u_t$ are iid $N(0, σ^2)$.
We have these independent priors: $φ$ ~ $N(0, 1)$; $ρ$ ~ $N(0, 1)$; $μ$ ~ $N(0, 100)$ and $σ^2$ ~ $IG(5, 10)$.
The task is to derive the following conditional distributions:
$f(σ^2|y,μ,ρ,φ)$, $f(φ|y,μ,ρ,σ^2)$, and $f(μ,ρ|y,φ,σ^2)$.
What I know is that the posterior is proportional to likelihood*prior. I assume that for the last conditional distribution, $f(μ,ρ|y,φ,σ^2)$ I am supposed to use joint $p(μ,ρ)$ as a prior.
But with this many parameters, I am very confused what likelihoods should be employed for the calculation of each conditional distribution. Could somebody please clarify this to me? How do I know what likelihood to use? Also, does AR(1) process play any role in this calculation?
probability-distributions bayesian
add a comment |
I have an AR(1) process with drift:
$y_t=μ+ρ_{t-1}+ε_t$
with the errors following AR(1) process: $ε_t=φε_{t-1}+u_t$
for $t=1, ..., T; ε_0=0$; and $u_t$ are iid $N(0, σ^2)$.
We have these independent priors: $φ$ ~ $N(0, 1)$; $ρ$ ~ $N(0, 1)$; $μ$ ~ $N(0, 100)$ and $σ^2$ ~ $IG(5, 10)$.
The task is to derive the following conditional distributions:
$f(σ^2|y,μ,ρ,φ)$, $f(φ|y,μ,ρ,σ^2)$, and $f(μ,ρ|y,φ,σ^2)$.
What I know is that the posterior is proportional to likelihood*prior. I assume that for the last conditional distribution, $f(μ,ρ|y,φ,σ^2)$ I am supposed to use joint $p(μ,ρ)$ as a prior.
But with this many parameters, I am very confused what likelihoods should be employed for the calculation of each conditional distribution. Could somebody please clarify this to me? How do I know what likelihood to use? Also, does AR(1) process play any role in this calculation?
probability-distributions bayesian
add a comment |
I have an AR(1) process with drift:
$y_t=μ+ρ_{t-1}+ε_t$
with the errors following AR(1) process: $ε_t=φε_{t-1}+u_t$
for $t=1, ..., T; ε_0=0$; and $u_t$ are iid $N(0, σ^2)$.
We have these independent priors: $φ$ ~ $N(0, 1)$; $ρ$ ~ $N(0, 1)$; $μ$ ~ $N(0, 100)$ and $σ^2$ ~ $IG(5, 10)$.
The task is to derive the following conditional distributions:
$f(σ^2|y,μ,ρ,φ)$, $f(φ|y,μ,ρ,σ^2)$, and $f(μ,ρ|y,φ,σ^2)$.
What I know is that the posterior is proportional to likelihood*prior. I assume that for the last conditional distribution, $f(μ,ρ|y,φ,σ^2)$ I am supposed to use joint $p(μ,ρ)$ as a prior.
But with this many parameters, I am very confused what likelihoods should be employed for the calculation of each conditional distribution. Could somebody please clarify this to me? How do I know what likelihood to use? Also, does AR(1) process play any role in this calculation?
probability-distributions bayesian
I have an AR(1) process with drift:
$y_t=μ+ρ_{t-1}+ε_t$
with the errors following AR(1) process: $ε_t=φε_{t-1}+u_t$
for $t=1, ..., T; ε_0=0$; and $u_t$ are iid $N(0, σ^2)$.
We have these independent priors: $φ$ ~ $N(0, 1)$; $ρ$ ~ $N(0, 1)$; $μ$ ~ $N(0, 100)$ and $σ^2$ ~ $IG(5, 10)$.
The task is to derive the following conditional distributions:
$f(σ^2|y,μ,ρ,φ)$, $f(φ|y,μ,ρ,σ^2)$, and $f(μ,ρ|y,φ,σ^2)$.
What I know is that the posterior is proportional to likelihood*prior. I assume that for the last conditional distribution, $f(μ,ρ|y,φ,σ^2)$ I am supposed to use joint $p(μ,ρ)$ as a prior.
But with this many parameters, I am very confused what likelihoods should be employed for the calculation of each conditional distribution. Could somebody please clarify this to me? How do I know what likelihood to use? Also, does AR(1) process play any role in this calculation?
probability-distributions bayesian
probability-distributions bayesian
asked Dec 2 at 0:59
minenivi
11
11
add a comment |
add a comment |
active
oldest
votes
Your Answer
StackExchange.ifUsing("editor", function () {
return StackExchange.using("mathjaxEditing", function () {
StackExchange.MarkdownEditor.creationCallbacks.add(function (editor, postfix) {
StackExchange.mathjaxEditing.prepareWmdForMathJax(editor, postfix, [["$", "$"], ["\\(","\\)"]]);
});
});
}, "mathjax-editing");
StackExchange.ready(function() {
var channelOptions = {
tags: "".split(" "),
id: "69"
};
initTagRenderer("".split(" "), "".split(" "), channelOptions);
StackExchange.using("externalEditor", function() {
// Have to fire editor after snippets, if snippets enabled
if (StackExchange.settings.snippets.snippetsEnabled) {
StackExchange.using("snippets", function() {
createEditor();
});
}
else {
createEditor();
}
});
function createEditor() {
StackExchange.prepareEditor({
heartbeatType: 'answer',
autoActivateHeartbeat: false,
convertImagesToLinks: true,
noModals: true,
showLowRepImageUploadWarning: true,
reputationToPostImages: 10,
bindNavPrevention: true,
postfix: "",
imageUploader: {
brandingHtml: "Powered by u003ca class="icon-imgur-white" href="https://imgur.com/"u003eu003c/au003e",
contentPolicyHtml: "User contributions licensed under u003ca href="https://creativecommons.org/licenses/by-sa/3.0/"u003ecc by-sa 3.0 with attribution requiredu003c/au003e u003ca href="https://stackoverflow.com/legal/content-policy"u003e(content policy)u003c/au003e",
allowUrls: true
},
noCode: true, onDemand: true,
discardSelector: ".discard-answer"
,immediatelyShowMarkdownHelp:true
});
}
});
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function () {
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fmath.stackexchange.com%2fquestions%2f3022085%2fderiving-conditional-distributions-of-ar1-process-with-drift%23new-answer', 'question_page');
}
);
Post as a guest
Required, but never shown
active
oldest
votes
active
oldest
votes
active
oldest
votes
active
oldest
votes
Thanks for contributing an answer to Mathematics Stack Exchange!
- Please be sure to answer the question. Provide details and share your research!
But avoid …
- Asking for help, clarification, or responding to other answers.
- Making statements based on opinion; back them up with references or personal experience.
Use MathJax to format equations. MathJax reference.
To learn more, see our tips on writing great answers.
Some of your past answers have not been well-received, and you're in danger of being blocked from answering.
Please pay close attention to the following guidance:
- Please be sure to answer the question. Provide details and share your research!
But avoid …
- Asking for help, clarification, or responding to other answers.
- Making statements based on opinion; back them up with references or personal experience.
To learn more, see our tips on writing great answers.
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function () {
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fmath.stackexchange.com%2fquestions%2f3022085%2fderiving-conditional-distributions-of-ar1-process-with-drift%23new-answer', 'question_page');
}
);
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown