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Bayesian method 1 Gibbs sampler 1 Student t regression model 1 Variance change-point 1
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Chen, Ji 1 Li, Yong 1 Lin, Jin-Guan 1
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Computational Economics 1
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Bayesian Analysis of Student t Linear Regression with Unknown Change-Point and Application to Stock Data Analysis
Lin, Jin-Guan; Chen, Ji; Li, Yong - In: Computational Economics 40 (2012) 3, pp. 203-217
This article devotes to studying the variance change-points problem in student t linear regression models. By exploiting the equivalence of the student t distribution and an appropriate scale mixture of normal distributions, a Bayesian approach combined with Gibbs sampling is developed to detect...
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