On Bayesian analysis and computation for functions with monotonicity and curvature restrictions |
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Authors: | William J McCausland |
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Institution: | 1. Département de sciences économiques, Université de Montréal, C.P. 6128, Succursale Centre-ville, Montréal, QC, Canada H3C 3J7;2. Centre Interuniversitaire de Recherche en Économie Quantitative, Canada;3. Centre Interuniversitaire de Recherche en Analyse des Organisations, Canada |
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Abstract: | Our goal is inference for shape-restricted functions. Our functional form consists of finite linear combinations of basis functions. Prior elicitation is difficult due to the irregular shape of the parameter space. We show how to elicit priors that are flexible, theoretically consistent, and proper. We demonstrate that uniform priors over coefficients imply priors over economically relevant quantities that are quite informative and give an example of a non-uniform prior that addresses this issue. We introduce simulation methods that meet challenges posed by the shape of the parameter space. We analyze data from a consumer demand experiment. |
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Keywords: | C11 C14 C15 D12 D21 |
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