Better priors for AR, ARX, LTX, DR, MA, ARMA, and VAR models
Statistical Modeling, Causal Inference, and Social Science 2025-02-14
Summary:
We arXived last year a paper The ARR2 prior: flexible predictive prior definition for Bayesian auto-regressions” by David Kohns, Noa Kallionen, Yann McLatchie, and me (Aki). Last week, we uploaded a revised version. The idea of the paper is to … Continue reading →