UC Santa Cruz - Bayesian Statistics: Capstone Project 

Introduction

Model Formulation

Prediction for AR Models

Prerequisite skill checklist

Read Data

Review: Useful Distributions

Posterior Distribution Derivation

AR model fitting example

AR model prediction example

Extended AR model

Practice Quiz for Week 1

First step for the project

AIC and BIC in selecting the order of AR process

Deviance information criterion (DIC)

AIC and BIC example

DIC Example

Determine the order of your data

Calculate DIC for single AR model

Prediction for Location Mixture of AR Models

Full conditional distributions of model parameters

Coding the Gibbs sampler

Prediction for location mixture of AR model

Sample code for the Gibbs sampler

Determine the number of components

Location and scale mixture of AR model

Fit a location mixture of AR model

Determine number of components for the mixture model

Acknowledgments and Reference