Slutskin, Lev - In: Applied Econometrics 20 (2010) 4, pp. 119-131
We perform Bayesian analysis of the sequence of unknown means mi given observations Xi under the assumption that, for any k 0, the first k members X1, X2, …, Xk are normally distributed with the mean (m1,…, mk ) and a known covariance matrix. It is assumed that the parameters m1,…, mk,…...