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- Timestamp:
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Dec 28, 2010, 10:50:41 AM (15 years ago)
- Author:
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Víctor de Buen Remiro
- Comment:
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--
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v20
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v21
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| 134 | 134 | |
| 135 | 135 | [[LatexEquation( \left(\frac{\partial^{2}L\left(x\right)}{\partial x_{i}\partial x_{j}}\right)_{i,j=1\ldots n}=-\Sigma^{-1} )]] |
| 136 | | |
| 137 | | |
| 138 | | === Inverse chi-square prior === |
| 139 | | |
| 140 | | In a model with normal residuals is permissible to award the unknown variance an |
| 141 | | inverse chi-square distribution with scale parameter equal to the average of |
| 142 | | squares of residuals and freedom degrees the data length. |
| 143 | | |
| 144 | | The likelihood is now the scalar function |
| 145 | | |
| 146 | | [[LatexEquation( lk\left(x\right)=\frac{\left(\frac{\nu}{2}\right)^{\frac{\nu}{2}}}{\Gamma\left(\frac{\nu}{2}\right)}x^{-\frac{\nu}{2}-1}e^{-\frac{\nu}{2x}} )]] |
| 147 | | |
| 148 | | with the domain constrain |
| 149 | | |
| 150 | | [[LatexEquation( x \ge 0 )]] |
| 151 | | |
| 152 | | The log-likelihood is |
| 153 | | |
| 154 | | [[LatexEquation( L\left(x\right)=\frac{\nu}{2}\ln\left(\frac{\nu}{2}\right)-\ln\left(\Gamma\left(\frac{\nu}{2}\right)\right)-\left(\frac{\nu}{2}+1\right)x-\frac{\nu}{2x} )]] |
| 155 | | |
| 156 | | The first derivative is |
| 157 | | |
| 158 | | [[LatexEquation( \frac{dL\left(x\right)}{dx}=-\left(\frac{\nu}{2}+1\right)+\frac{\nu}{2x^{2}} )]] |
| 159 | | |
| 160 | | The second derivative is |
| 161 | | |
| 162 | | [[LatexEquation( \frac{d^{2}L\left(x\right)}{d^{2}x}=-\frac{\nu}{6x^{3}} )]] |
| 163 | | |
| 164 | 136 | |
| 165 | 137 | |
| … |
… |
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| 171 | 143 | as in the case of latent variables in hierarquical models |
| 172 | 144 | |
| 173 | | [[LatexEquation( x_{i}\sim N\left(x_{1},\sigma\right)\forall i=2\ldots n )]] |
| | 145 | [[LatexEquation( x_{i}\sim N\left(x_{1},\sigma^2\right)\forall i=2\ldots n )]] |
| 174 | 146 | |
| 175 | 147 | Then we can define a variable transformation like this |