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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

Fúquene, Jairo; Pérez, María Eglée; Pericchi Guerra, Luis Raúl

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 ...