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

zbMATH Keywords

Bayesian inferencerobust priorsdynamic linear modelschange point detectioninverted-gamma distributionscaled beta 2 distributionStudent \(t\) distribution

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Bayesian inference (62F15) Exact distribution theory in statistics (62E15)

Related Items (3)

A weakly informative prior for Bayesian dynamic model selection with applications in fMRI ⋮ A semi-parametric Bayesian extreme value model using a Dirichlet process mixture of gamma densities ⋮ Effects of prior distributions: an application to piped water demand

Uses Software

• dlm

Cites Work

• Bayesian forecasting and dynamic models.
• Generalized spherical and simplicial coordinates
• The horseshoe estimator for sparse signals
• DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
• Dynamic Linear Models with R
• Bayesian robustness modeling using regularly varying distributions
• Prior distributions for variance parameters in hierarchical models (Comment on article by Browne and Draper)
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