GIBBS SAMPLING ON A STEADY MODEL

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Hacettepe Journal of Mathematics and Statistics
Volume:32 Issue:1
GIBBS SAMPLING ON A STEADY MODEL

GIBBS SAMPLING ON A STEADY MODEL

Authors : Gül ERGÜN

Pages : 109-120

View : 22 | Download : 8

Publication Date : 2003-01-01

Article Type : Research Paper

Abstract :In this study Gibbs sampling, a widely used simulation method, is ap- plied to the steady model, a simple variation of the dynamic linear model, and the model parameters are estimated. The estimates ob- tained from Gibbs sampling and the results for the standard Kalman fi lter are compared and are found to be close. These similarities in the results indicate the success of the stochastic simulation. In this study, a variance modulation on the steady model is also applied and Gibbs sampling is proposed to overcome analytic problems. In the variance adaptation, defined as $a\mu_t^binsert ignore into journalissuearticles values(a,b>0);$ estimates for the model parame- ters are obtained for different values of a and b.
Keywords : Bayesian approach, BUGS, Gibbs sampling, Steady model, Variance modulation

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