Bayesian analysis of a linear mixed model with AR(p) errors via MCMC

M. A. Alkhamisi and Ghazi Shukur

Journal of Applied Statistics, 2005, vol. 32, issue 7, 741-755

Abstract: We develop Bayesian procedures to make inference about parameters of a statistical design with autocorrelated error terms. Modelling treatment effects can be complex in the presence of other factors such as time; for example in longitudinal data. In this paper, Markov chain Monte Carlo methods (MCMC), the Metropolis-Hastings algorithm and Gibbs sampler are used to facilitate the Bayesian analysis of real life data when the error structure can be expressed as an autoregressive model of order p. We illustrate our analysis with real data.

Keywords: Linear mixed model; autoregressive process; Metropolis-Hastings algorithm; Gibbs sampling; Bayesian statistics; autocorrelation; repeated measurement designs (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1080/02664760500079688

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