Hyperparameter Estimation

Dear all,

Any reference on how to implement Bayesian estimation using pymc where hyperparametrs are unknown ( an example is Ginannone, Lenza and Primiveri 2012 where hyperparameters are selected by maximizing the likelihood function)

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Welcome! Would this be relevant?


I meant any reference for pymc code to implement Bayesian estimation when hyperparameter are not assigned by user but estimated as endogenous variable

Hyperparameters will almost necessarily be estimated from data. If they aren’t it’s a bit awkward to call them hyperparameters (at least in a Bayesian context). Here is a relatively introductory example. This is probably the most well-known example in Bayesian circles.

Thank you