NUMERICAL METHODS FOR ESTIMATION AND INFERENCE IN BAYESIAN VAR‐MODELS
比较了吉布斯抽样和重要性抽样在贝叶斯向量自回归模型后验分布计算中的表现，发现吉布斯抽样效果更好且受模型规模影响较小，并报告了不同先验分布的预测性能。
In Bayesian analysis of vector autoregressive models, and especially in forecasting applications, the Minnesota prior of Litterman is frequently used. In many cases other prior distributions provide better forecasts and are preferable from a theoretical standpoint. Several of these priors require numerical methods in order to evaluate the posterior distribution. Different ways of implementing Monte Carlo integration are considered. It is found that Gibbs sampling performs as well as, or better, then importance sampling and that the Gibbs sampling algorithms are less adversely affected by model size. We also report on the forecasting performance of the different prior distributions. © 1997 by John Wiley & Sons, Ltd.