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 |
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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
Status: | new → assigned |
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comment:2 Changed 16 years ago by
Milestone: | → BSR hierarchy and priors |
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comment:3 Changed 15 years ago by
Severity: | normal → major |
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comment:4 Changed 15 years ago by
Severity: | major → blocker |
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comment:5 Changed 15 years ago by
Status: | assigned → accepted |
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Type: | task → enhancement |
comment:6 Changed 14 years ago by
Severity: | blocker → major |
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