Using boostrap to derive a prior distribution

Pedro Delicado

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: Constructing a prior distribution when there is no available information is usually an interesting challenge. In this paper, a new method based on bootstrap and non parametric density estimation ideas is proposed. Its ability to detect and partially correct misspecifications is illustrated with a simulation study.

Keywords: Bootstrap; Density; estimation; Bayesian; analysis; Prior; distribution (search for similar items in EconPapers)
Date: 1994-04
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:10719

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