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- Timestamp:
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Dec 28, 2010, 10:50:41 AM (14 years ago)
- Author:
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Víctor de Buen Remiro
- Comment:
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v20
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v21
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134 | 134 | |
135 | 135 | [[LatexEquation( \left(\frac{\partial^{2}L\left(x\right)}{\partial x_{i}\partial x_{j}}\right)_{i,j=1\ldots n}=-\Sigma^{-1} )]] |
136 | | |
137 | | |
138 | | === Inverse chi-square prior === |
139 | | |
140 | | In a model with normal residuals is permissible to award the unknown variance an |
141 | | inverse chi-square distribution with scale parameter equal to the average of |
142 | | squares of residuals and freedom degrees the data length. |
143 | | |
144 | | The likelihood is now the scalar function |
145 | | |
146 | | [[LatexEquation( lk\left(x\right)=\frac{\left(\frac{\nu}{2}\right)^{\frac{\nu}{2}}}{\Gamma\left(\frac{\nu}{2}\right)}x^{-\frac{\nu}{2}-1}e^{-\frac{\nu}{2x}} )]] |
147 | | |
148 | | with the domain constrain |
149 | | |
150 | | [[LatexEquation( x \ge 0 )]] |
151 | | |
152 | | The log-likelihood is |
153 | | |
154 | | [[LatexEquation( L\left(x\right)=\frac{\nu}{2}\ln\left(\frac{\nu}{2}\right)-\ln\left(\Gamma\left(\frac{\nu}{2}\right)\right)-\left(\frac{\nu}{2}+1\right)x-\frac{\nu}{2x} )]] |
155 | | |
156 | | The first derivative is |
157 | | |
158 | | [[LatexEquation( \frac{dL\left(x\right)}{dx}=-\left(\frac{\nu}{2}+1\right)+\frac{\nu}{2x^{2}} )]] |
159 | | |
160 | | The second derivative is |
161 | | |
162 | | [[LatexEquation( \frac{d^{2}L\left(x\right)}{d^{2}x}=-\frac{\nu}{6x^{3}} )]] |
163 | | |
164 | 136 | |
165 | 137 | |
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171 | 143 | as in the case of latent variables in hierarquical models |
172 | 144 | |
173 | | [[LatexEquation( x_{i}\sim N\left(x_{1},\sigma\right)\forall i=2\ldots n )]] |
| 145 | [[LatexEquation( x_{i}\sim N\left(x_{1},\sigma^2\right)\forall i=2\ldots n )]] |
174 | 146 | |
175 | 147 | Then we can define a variable transformation like this |