Browsing by Author "Niu, WF"

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Bayesian estimation for time-series regressions improved with exact likelihoods
(2004-10-01)
Chen, CWS
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Lee, JC
;
Lee, HY
;
Niu, WF
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統計學研究所
We propose an estimation procedure for time-series regression models under the Bayesian inference framework. With the exact method of Wise [Wise, J. (1955). The autocorrelation function and spectral density function. Biometrika, 42, 151-159], an exact likelihood function can be obtained instead of the likelihood conditional on initial observations. The constraints on the parameter space arising from the stationarity conditions are handled by a reparametrization, which was not taken into consideration by Chib [Chib, S. (1993). Bayes regression with autoregressive errors: A Gibbs sampling approach. J. Econometrics, 58, 275-294] or Chib and Greenberg [Chib, S. and Greenberg, E. (1994). Bayes inference in regression model with ARMA(p, q) errors. J. Econometrics, 64, 183-206]. Simulation studies show that our method leads to better inferential results than their results.
On an unbalanced growth curve model with random effects and AR(1) errors from a Bayesian and the ML points of view
(1999-02-01)
Lee, JC
;
Niu, WF
;
統計學研究所
;
Institute of Statistics
In this paper we consider a Bayesian analysis of unbalanced (general) growth curve model with random effects and AR(I) errors. Three priors are proposed and put into comparisons in parameter estimation and prediction problems. (C) 1999 Elsevier Science B.V. All rights reserved.