Bayesian Variance Changepoint Detection in Linear Models with Symmetric Heavy-Tailed Errors

Keyphrases

• Bayesian Analysis 50%
• Bayesian Inference 50%
• Change Point Detection 100%
• Change-point Problem 50%
• Closing Price 50%
• Common Error 50%
• Economic Data 50%
• Error Distribution 100%
• Financial Data 50%
• Financial Innovation 50%
• Financial Markets 50%
• Financial Risk 50%
• Financial Theory 50%
• Flexible Error 50%
• Gibbs Sampling 50%
• Heavy-tailed Errors 100%
• Normality 50%
• Price Data 50%
• Proposed Methodology 50%
• Rapid Growth 50%
• Risk Modeling 50%
• Robust Techniques 50%
• Sampling Methods 50%
• Satisfactory Performance 50%
• Scale Mixtures of Normal Distributions 50%
• Simulation Study 50%
• Student-t Distribution 50%
• Theory Modeling 50%
• U.S. Stocks 50%
• Volatility 50%

Mathematics

• Bayesian 100%
• Bayesian Analysis 25%
• Bayesian Inference 25%
• Changepoint Detection 100%
• Error Distribution 50%
• Gaussian Distribution 25%
• Linear Models 100%
• Mathematical Convenience 25%
• Posterior Sample 25%
• Rapid Growth 25%
• Sampling Procedure 25%
• Simulation Study 25%
• Variance 100%