An Algorithm for Prior Elicitation in Dynamic Bayesian Models for Proportions with the Logit Link Function

James D. Santos () and José M. J. Costa
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James D. Santos: Federal University of Amazonas
José M. J. Costa: Federal University of Amazonas

Methodology and Computing in Applied Probability, 2019, vol. 21, issue 1, 169-183

Abstract: Abstract The elicitation of hyperparameters at time t in dynamic Bayesian models for proportions is performed by solving a nonlinear system. This paper presents an algorithm to solve this system when the logit function is used. If the initial conditions are satisfied, it is guaranteed that the algorithm converges to the solution. The performance of some dynamic models was compared using the standard method and the new method presented here, using simulated data and the monthly series of deaths from tuberculosis sequelae in the state of São Paulo, Brazil.

Keywords: Dynamic generalized linear models for proportions; Prior elicitation; Root-finding algorithms; 62M10 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s11009-018-9642-3

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