Abstract:

The authors proposed the Bayesian method to estimate the parameters in a special time vary parameter autoregression model(TVPAR model). Assuming that  coefficient parameters are uniform, and variance is inverse gamma distribution, we got the iterate steps of all parameters by means of  MCEM algorithm. Simulation and a real data analysis were performed to illustrate the proposed estimation method.

Key words: TVPAR model, MCEM algorithm, Bayesian estimation, prior distribution