Abstract:Time series analysts have long been concerned with distinguishing stationary "generating processes" from processes for which differencing is required to induce stationarity. In practical applications, this issue is addressed almost invariably through formal hypothesis testing. In this paper, we explore some aspects of the Bayesian approach to the problem, leading to the calculation of posterior odds ratios. Interesting features arise in the simplest possible variant of the problem, where a choice has to be mad… Show more
“…In line with other Bayesian work, we refined our priors using Monte-Carlo trials [37]. These indicated that setting T 0 ¼ v 0 :I k inflated estimates of the covariance matrices O generated by the sampler and inflated values of a also.…”
“…In line with other Bayesian work, we refined our priors using Monte-Carlo trials [37]. These indicated that setting T 0 ¼ v 0 :I k inflated estimates of the covariance matrices O generated by the sampler and inflated values of a also.…”
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.