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Opened 16 years ago

Last modified 14 years ago

#627 accepted enhancement

Generic prior information over ARMA parameters

Reported by: Víctor de Buen Remiro Owned by: Víctor de Buen Remiro
Priority: normal Milestone: BSR hierarchy and priors
Component: Math Version:
Severity: major Keywords: BSR, ARIMA, prior
Cc:

Description

It is neccesary to add prior information about ARMA parameters:
Hierarchical linear structure with latent, pure prior and domain restrictions should be added.

Internal mathematical algorithm is trivial due to the only one thing needed is to add log-density of current priors and modify intervals to the intersection with stationarity constraints.

No so easy will be to modify all API's to allow to define it.

Change History (6)

comment:1 Changed 16 years ago by Víctor de Buen Remiro

Status: newassigned

comment:2 Changed 16 years ago by Víctor de Buen Remiro

Milestone: BSR hierarchy and priors

comment:3 Changed 15 years ago by Víctor de Buen Remiro

Severity: normalmajor

comment:4 Changed 15 years ago by Víctor de Buen Remiro

Severity: majorblocker

comment:5 Changed 15 years ago by Víctor de Buen Remiro

Status: assignedaccepted
Type: taskenhancement

comment:6 Changed 14 years ago by Víctor de Buen Remiro

Severity: blockermajor
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