Bayesian Semiparametric Double Autoregressive Modeling

Table 1

Sensitivity analysis of the choice of priors.

	Prior 1	Prior 2	Prior 3	Prior 4	Prior 5	Prior 6	Prior 7
	a = 2, b = 4	a = 6, b = 6	a = 0.1, b = 20	a = 2, b = 4	a = 2, b = 4	a = 2, b = 4	a = 1, b = 5
	v = 10, c = 30	v = 10, c = 30	v = 10, c = 30	v = 3, c = 0.003	v = 10, c = 0.01	v = 10, c = 1	v = 3, c = 6
	0.2008	0.2008	0.2033	0.1999	0.2042	0.1949	0.1919
	0.0017	0.0025	0.0015	0.0022	0.0018	0.0023	0.0018
	0.3164	0.3151	0.3092	0.3089	0.3319	0.3407	0.3146
	0.0019	0.0037	0.0026	0.0019	0.0036	0.0036	0.0034
	0.9625	0.9780	0.9289	0.9187	0.8949	0.9096	0.9492
	0.0025	0.0011	0.0048	0.0033	0.0062	0.0045	0.0025
	5.8512	5.9677	5.8917	3.5473	3.2172	3.7628	5.5979
	1.3858	1.4954	2.1101	0.6853	0.4840	0.4602	1.3408

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.