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Modelling outliers and structural breaks in dynamic linear models with a novel use of a heavy tailed prior for the variances: An alternative to the Inverted Gamma
In this paper we propose a new wider class of hypergeometric heavy tailed priors that are
given as the convolution of a Student-t density for the location parameter and a Scaled Beta2
prior for the variance. These priors ...
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. ...