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Changing Statistical Significance with the Amount of Information: The Adaptive α Significance Level
(Statistics & Probability Letters, 2014-02)
We put forward an adaptive alpha which changes with the amount of sample information. This calibration may be interpreted as a Bayes–non-Bayes compromise, and leads to statistical consistency. The calibration can also be ...
An alternative to the Inverted Gamma for the variances to modelling outliers and structural breaks in dynamic models
(Brazilian Journal of Probability and Statistics, 2014)
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. ...