Kullback-Leibler divergence to evaluate posterior sensitivity to different priors for autoregressive time series models

Abstract

Kullback-Leibler divergence is used to measure the distance between the posteriors of the autoregressive model coefficients, aiming to evaluate the sensitivity of the coefficients posterior to different types of priors.

Publication
In Communications in Statistics - Simulation and Computation
Date
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Ayman A. Amin
Assistant Professor of Statistics
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