Bayesian Semiparametric Double Autoregressive Modeling

Figure 5

MCMC results for DAR-DPM: (a) the estimation results of and (b) the estimation of ; (c) and (d) are their respective density maps. It can be observed that is left-biased, so we take the median as the estimated value because the median is less affected by skewness.

(a)

(b)

(c)

(d)