Ghosh, Malay; Heo, Jungeun - In: Journal of Time Series Analysis 24 (2003) 3, pp. 269-282
The objective of this paper is to develop default priors when the parameter of interest is the autocorrelation coefficient in normal regression models with first-order autoregressive residuals. Jeffreys' prior as well as reference priors are found. These priors are compared in the light of how...