Bayesian Semiparametric Double Autoregressive Modeling

Table 2

Full sample estimates.

Model	Parameter	True values	DPM	Standard Normal	Finite mixture
			Post.Mean	Post.Mean	Post.Mean
			Post.std.dev	Post.std.dev	Post.std.dev
DPM		0.2	0.1909	0.2046	0.1973
			0.0364	0.0441	0.0492
		0.3	0.3095	0.3557	0.3209
			0.0367	0.3765	0.0621
		1	0.9413
			0.0472
			5.4095
			1.1744
Standard Normal		0.2	0.1930	0.1957	0.2048
			0.0367	0.0357	0.0344
		0.3	0.2951	0.2989	0.3071
			0.0532	0.0386	0.0704
			0.9124
			0.0491
			1.5485
			0.1827
Finite mixture		0.2	0.2088	0.1885	0.1956
			0.0377	0.0694	0.0647
		0.3	0.2957	0.6394	0.3283
			0.0679	0.3066	0.1954
			0.9219
			0.0370
			2.4693
			0.0774

Note. This table displays the posterior means and standard deviations of the model parameters obtained from the DPM model, Gaussian distribution and mixture of two zero-mean Gaussians.