Abstract
This paper analyses a linear model in which both the mean and the precision change exactly once at an unknown point in time. Posterior distributions are found for the unknown time point at which the changes occurred and for the ratio of the precisions. The Bayesian predictive distribution of k future observations is also derived. It is shown that the unconditional posterior distribution of the ratio of precisions is a mixture of F-type distributions and the predictive distribution is a mixture of multivariate t distributions.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
