An alternative to the inverted gamma for the variances to modelling outliers and structural breaks in dynamic models
DOI10.1214/12-BJPS207zbMath1319.62031OpenAlexW2077814334WikidataQ58867926 ScholiaQ58867926MaRDI QIDQ398210
María-Eglée Pérez, Luís Raúl Pericchi, Jairo A. Fúquene
Publication date: 12 August 2014
Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bjps/1396615442
Bayesian inferencerobust priorsdynamic linear modelschange point detectioninverted-gamma distributionscaled beta 2 distributionStudent \(t\) distribution
Asymptotic distribution theory in statistics (62E20) Bayesian inference (62F15) Exact distribution theory in statistics (62E15)
Related Items (3)
Uses Software
Cites Work
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- The horseshoe estimator for sparse signals
- DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
- Dynamic Linear Models with R
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- Prior distributions for variance parameters in hierarchical models (Comment on article by Browne and Draper)
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