1 resultado para MCMC, Metropolis Hastings, Gibbs, Bayesian, OBMC, slice sampler, Python
em Digital Commons - Michigan Tech
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Resumo:
In this thesis, we consider Bayesian inference on the detection of variance change-point models with scale mixtures of normal (for short SMN) distributions. This class of distributions is symmetric and thick-tailed and includes as special cases: Gaussian, Student-t, contaminated normal, and slash distributions. The proposed models provide greater flexibility to analyze a lot of practical data, which often show heavy-tail and may not satisfy the normal assumption. As to the Bayesian analysis, we specify some prior distributions for the unknown parameters in the variance change-point models with the SMN distributions. Due to the complexity of the joint posterior distribution, we propose an efficient Gibbs-type with Metropolis- Hastings sampling algorithm for posterior Bayesian inference. Thereafter, following the idea of [1], we consider the problems of the single and multiple change-point detections. The performance of the proposed procedures is illustrated and analyzed by simulation studies. A real application to the closing price data of U.S. stock market has been analyzed for illustrative purposes.