Search Results - subject:"product partition models"

Optimal clustering in Bayesian capital asset pricing model

De Giuli, Maria Elena; Tarantola, Claudia; Uberti, Pierpaolo - 2007

We focus on robust Bayesian estimation of the systematic risk of an asset in presence of outlying points. We assume that the returns follow independent normal distributions with a product partition structure on the parameters of interest. A Bayesian decision theoretical approach is used to...

Persistent link: https://www.econbiz.de/10010326122

BAYESIAN IDENTIFICATION OF OUTLIERS AND CHANGE-POINTS IN MEASUREMENT ERROR MODELS

QUINTANA, FERNANDO A.; IGLESIAS, PILAR L.; BOLFARINE, HELENO - In: Advances in Complex Systems (ACS) 08 (2005) 04, pp. 433-449

change-point identification in scale mixture of error-in-variables models. We propose an approach based on product partition … models (PPMs) which allows one to study clustering for the models under consideration. This includes the change-point problem …

Persistent link: https://www.econbiz.de/10005080952