Bayesian Parameter Estimation using the MCMC method for the Mean Change Model of Multivariate Normal Random Variates

  • Oh, Mi-Ra (Department of Statistics, Chonnam National University) ;
  • Kim, Eoi-Lyoung (Dept. of Statistics, Chonnam National University) ;
  • Sim, Jung-Wook (Dept. of Statistics, Chonnam National University) ;
  • Son, Young-Sook (Dept. of Statistics, Chonnam National University)
  • Published : 2004.04.01


In this thesis, Bayesian parameter estimation procedure is discussed for the mean change model of multivariate normal random variates under the assumption of noninformative priors for all the parameters. Parameters are estimated by Gibbs sampling method. In Gibbs sampler, the change point parameter is generated by Metropolis-Hastings algorithm. We apply our methodology to numerical data to examine it.


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