Seminar: Rolf Larsson, Uppsala University
Seminar
Date: Wednesday 11 October 2023
Time: 13.00 – 14.00
Location: Campus Albano, Lecture room 27, house 4, level 2
Confidence distributions for the autoregressive parameter
Abstract
The notion of confidence distributions is applied to inference about the parameter in a simple autoregressive model, allowing the parameter to take the value one. This makes it possible to compare to asymptotic approximations in both the stationary and the non stationary cases at the same time. The main point, however, is to compare to a Bayesian analysis of the same problem. A non-informative prior for a parameter, in the sense of Jeffreys, is given as the ratio of the confidence density and the likelihood. In this way, the similarity between the confidence and non-informative Bayesian frameworks is exploited. It is shown that, in the stationary case, asymptotically the so induced prior is flat. However, if a unit parameter is allowed, the induced prior has to have a spike at one of some size. Simulation studies and two empirical examples illustrate the ideas.
Last updated: October 4, 2023
Source: Department of Statistics