A Bayesian test procedure Is developed to test; the null hypothesis of no change In the regressionmatrix of a multivariate lin¬ear model against the alternative hypothesis of exactly one change The resulting tes...
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A Bayesian test procedure Is developed to test; the null hypothesis of no change In the regressionmatrix of a multivariate lin¬ear model against the alternative hypothesis of exactly one change The resulting test is based on the marginal posterior distribution of the change point; To illustrate the test procedure a numerical example using a bivariate regression model is considered.
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