Consider the linear AR(p) model in Section 12 6 1 Suppose that xh and xh 1 are two missing values with a joint prior distribution being multivariate normal with mean o and covariance matrix o Other prior distributions are the same as that in the text What is the conditional posterior distribution of the two missing values

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Question: Consider the linear AR(p) model in Section 12.6.1. Suppose that xh and xh+1 are two missing values with a joint prior distribution being multivariate normal

Consider the linear AR(p) model in Section 12.6.1. Suppose that xh and xh+1 are two missing values with a joint prior distribution being multivariate normal with mean μo and covariance matrix ∑o.

Other prior distributions are the same as that in the text. What is the conditional posterior distribution of the two missing values?

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