A general Bayesian model for heteroskedastic data with fully conjugate full-conditional distributions
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DOI: 10.1080/00949655.2021.1925279
Abstract: Models for heteroskedastic data are relevant in a variety of applications ranging from financial time series to environmental statistics. However, the topic of modelling the variance function conditionally has not seen as much attention as… read more here.
Keywords: model heteroskedastic; heteroskedastic data; model; full conditional ... See more keywords