Mathematical Problems in Engineering / 2019 / Article / Tab 1

Research Article

Bayesian Semiparametric Double Autoregressive Modeling

Table 1

Sensitivity analysis of the choice of priors.

Prior 1Prior 2Prior 3Prior 4Prior 5Prior 6Prior 7
a = 2, b = 4a = 6, b = 6a = 0.1, b = 20a = 2, b = 4a = 2, b = 4a = 2, b = 4a = 1, b = 5
v = 10, c = 30v = 10, c = 30v = 10, c = 30v = 3, c = 0.003v = 10, c = 0.01v = 10, c = 1v = 3, c = 6

0.20080.20080.20330.19990.20420.19490.1919
0.00170.00250.00150.00220.00180.00230.0018
0.31640.31510.30920.30890.33190.34070.3146
0.00190.00370.00260.00190.00360.00360.0034
0.96250.97800.92890.91870.89490.90960.9492
0.00250.00110.00480.00330.00620.00450.0025
5.85125.96775.89173.54733.21723.76285.5979
1.38581.49542.11010.68530.48400.46021.3408

Note. This table presents the posterior mean and standard deviations of the model parameters for prior 1 sets , , , , and . The remaining prior uses the same choices but changes the values of the indicated hyperparameters in the first rows.

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