Robust Bayesian model selection for heavy-tailed linear regression using finite mixtures
2020•projecteuclid.org
… In this paper, we present a novel methodology to perform Bayesian model selection in
linear models with heavy-tailed distributions. We consider a finite mixture of distributions to
model a latent variable where each component of the mixture corresponds to one possible
model within the symmetrical class of normal independent distributions. Naturally, the Gaussian …
In particular, we consider different heavy-tailed distributions and the traditional Gaussian
specification. Existing solutions use …
linear models with heavy-tailed distributions. We consider a finite mixture of distributions to
model a latent variable where each component of the mixture corresponds to one possible
model within the symmetrical class of normal independent distributions. Naturally, the Gaussian …
In particular, we consider different heavy-tailed distributions and the traditional Gaussian
specification. Existing solutions use …
Supplement to “Robust Bayesian model selection for heavy-tailed linear regression using finite mixtures”. Supplementary information.
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