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| 題 名 | On Stein's Identity for Posterior Normality |
|---|---|
| 作 者 | Weng,Ruby C.; | 書刊名 | Statistica Sinica |
| 卷 期 | 13:2 2003.04[民92.04] |
| 頁 次 | 頁495-506 |
| 分類號 | 319 |
| 關鍵詞 | Maximum likelihood estimator; Posterior distributions; Posterior normality; Stein's identity; Stochastic processes; |
| 語 文 | 英文(English) |
| 英文摘要 | We propose a new method to derive posterior normality of stochastic processes. For a suitable parameter transformation Zt, the likelihood function is converted to a form close to a standard normal density. Then we apply a version of Stein's Identity to obtain an expression for the posterior expectation. From this, posterior normality of Zt can be established. Applications of this method are illustrated by the conditional exponential family and a nonhomogeneous Poisson process. |
本系統中英文摘要資訊取自各篇刊載內容。