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Bayesian Analysis of a Growth Curve Model with a General Autoregressive Covariance Structure
Author(s) -
Lee J. C.,
Chang C. H.
Publication year - 2000
Publication title -
scandinavian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.359
H-Index - 65
eISSN - 1467-9469
pISSN - 0303-6898
DOI - 10.1111/1467-9469.00217
Subject(s) - mathematics , autoregressive model , covariance , toeplitz matrix , bayesian probability , generalization , growth curve (statistics) , covariance matrix , matérn covariance function , estimation of covariance matrices , statistics , econometrics , covariance intersection , mathematical analysis , pure mathematics
In this paper we consider from maximum likelihood and Bayesian points of view the generalized growth curve model when the covariance matrix has a Toeplitz structure. This covariance is a generalization of the AR(1) dependence structure. Inferences on the parameters as well as the future values are included. The results are illustrated with several real data sets.