Non-Gaussian dynamic Bayesian modelling
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Miguel A. JuΓ‘rez; Mark F. J. Steel
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Article
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2009
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John Wiley and Sons
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English
β 505 KB
## Abstract A first order autoregressive nonβGaussian model for analysing panel data is proposed. The main feature is that the model is able to accommodate fat tails and also skewness, thus allowing for outliers and asymmetries. The modelling approach is designed to gain sufficient flexibility, wit