Nonparametric specification of error terms in dynamic models
Fabio Corradi, Fabrizia Mealli · Lecture notes-monograph series · 1996
2. After a complete sample from p(Πf|Π/ψ jfe,a?t)Vί, the full conditional posteriors can also be provided for tne hyperparameters m e ,B e ,S e .Applying Bayes theorem we have: k e (10) p(m e \μ* e ,B e ) oc ]J N(μ* e \m e ,B e )N(m e \m e 0 ,A e ) 298 F. Corradi and F. MeaMi k e oc I I 7V(/ij