In this study, we examine posterior properties and frequentist risks of Bayesian estimators based on several non-informative priors in Vector Autoregressive (VAR) models. We prove existence of the posterior distributions ...

The first part studies the problem of estimating the covariance matrix in a star-shaped model with missing data. By introducing a class of priors based on a type of Cholesky decomposition of the precision matrix, we then ...