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dc.coverage.spatialMedellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degreeseng
dc.date.available2014-08-01T20:58:17Z
dc.date.issued2014-07-23
dc.identifier.urihttp://hdl.handle.net/10784/2857
dc.description.abstractIn this paper we analyze the effect of four possible alternatives regarding the prior distributions in a linear model with autoregressive errors to predict piped water consumption: Normal-Gamma, Normal-Scaled Beta two, Studentized-Gamma and Student's t-Scaled Beta two. We show the effects of these prior distributions on the posterior distributions under different assumptions associated with the coefficient of variation of prior hyperparameters in a context where there is a conflict between the sample information and the elicited hyperparameters. We show that the posterior parameters are less affected by the prior hyperparameters when the Studentized-Gamma and Student's t-Scaled Beta two models are used. We show that the Normal-Gamma model obtains sensible outcomes in predictions when there is a small sample size. However, this property is lost when the experts overestimate the certainty of their knowledge. In the case that the experts greatly trust their beliefs, it is a good idea to use Student's t distribution as the prior distribution, because we obtain small posterior predictive errors. In addition, we find that the posterior predictive distributions using one of the versions of Student's t as prior are robust to the coefficient of variation of the prior parameters. Finally, it is shown that the Normal-Gamma model has a posterior distribution of the variance concentrated near zero when there is a high level of confidence in the experts' knowledge: this implies a narrow posterior predictive credibility interval, especially using small sample sizes.eng
dc.language.isoengeng
dc.publisherUniversidad EAFITspa
dc.titleWhat is the effect of sample and prior distributions on a Bayesian autoregressive linear model? An application to piped water consumptioneng
dc.typeinfo:eu-repo/semantics/workingPaper
dc.typeworkingPapereng
dc.rights.accessrightsinfo:eu-repo/semantics/openAccesseng
dc.publisher.departmentEscuela de Economía y Finanzasspa
dc.type.localDocumento de trabajo de investigaciónspa
dc.subject.keywordAutoregressive modeleng
dc.subject.keywordBayesian analysiseng
dc.subject.keywordForecasteng
dc.subject.keywordRobust prioreng
dc.rights.localAcceso abiertospa
dc.date.accessioned2014-08-01T20:58:17Z
dc.type.hasVersiondrafteng
dc.identifier.jelC11
dc.identifier.jelC53
dc.contributor.authorRamírez Hassan, Andrésspa
dc.contributor.authorCardona Jiménez, Jhonatanspa
dc.contributor.authorPericchi Guerra, Raulspa


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