Hello everybody
I am working on the multivariate CAR model where I would like to
model covariane matrix with AR(1) process. Normally, Inverse Wishart
distribution is specified for the covariace matrix. I would like to
specify a Wishart distribution for the AR(1) type of covariane
matrix. I was just wondering if the way I was thinking even make
sense?
Any suggestion or help is highly appreciated.
Thanks in advance
Bibek
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