An alternative to the Inverted Gamma for the variances to modelling outliers and structural breaks in dynamic models

In this paper, we propose a new wide class of hypergeometric heavy tailed priors that is given as the convolution of a Student-t density for the location parameter and a Scaled Beta 2 prior for the squared scale parameter. These priors may have heavier tails than Student-t priors, and the variances...

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Veröffentlicht in:	Brazilian journal of probability and statistics 2014-05, Vol.28 (2), p.288-299
Hauptverfasser:	Fúquene, Jairo, Pérez, María-Eglée, Pericchi, Luis R.
Format:	Artikel
Sprache:	eng
Schlagworte:	Degrees of freedom Dynamic modeling Fuel consumption Horseshoes Linear models Outliers Piedra Scale modeling School campuses Statistical discrepancies
Online-Zugang:	Volltext
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