Bayesian analysis of dynamic factor models using multivariate T distribution

Registro completo de metadados
MetadadosDescriçãoIdioma
Autor(es): dc.creatorAndrade, Larissa Ribeiro de-
Autor(es): dc.creatorFerreira, Daniel Furtado-
Autor(es): dc.creatorSáfadi, Thelma-
Autor(es): dc.creatorBarroso, Lúcia Pereira-
Data de aceite: dc.date.accessioned2026-02-09T11:12:18Z-
Data de disponibilização: dc.date.available2026-02-09T11:12:18Z-
Data de envio: dc.date.issued2019-05-07-
Data de envio: dc.date.issued2019-05-07-
Data de envio: dc.date.issued2018-
Fonte completa do material: dc.identifierhttps://repositorio.ufla.br/handle/1/34021-
Fonte completa do material: dc.identifierhttp://www.biometria.ufla.br/index.php/BBJ/article/view/155-
Fonte: dc.identifier.urihttp://educapes.capes.gov.br/handle/capes/1135891-
Descrição: dc.descriptionThe multivariate t models are symmetric and have heavier tail than the normal distribution and produce robust inference procedures for applications. In this paper, the Bayesian estimation of a dynamic factor model is presented, where the factors follow a multivariate autoregressive model, using the multivariate t distribution. Since the multivariate t distribution is complex, it was represented in this work as a mix of the multivariate normal distribution and a square root of a chi-square distribution. This method allowed the complete dene of all the posterior distributions. The inference on the parameters was made taking a sample of the posterior distribution through a Gibbs Sampler. The convergence was veried through graphical analysis and the convergence diagnostics of Geweke (1992) and Raftery and Lewis (1992).-
Idioma: dc.languageen-
Publicador: dc.publisherUniversidade Federal de Lavras-
Direitos: dc.rightsrestrictAccess-
???dc.source???: dc.sourceRevista Brasileira de Biometria-
Palavras-chave: dc.subjectFactor models-
Palavras-chave: dc.subjectGibbs samples-
Palavras-chave: dc.subjectMultivariate t-
Palavras-chave: dc.subjectModelos de fator-
Palavras-chave: dc.subjectAmostras de Gibbs-
Palavras-chave: dc.subjectT multivariada-
Título: dc.titleBayesian analysis of dynamic factor models using multivariate T distribution-
Tipo de arquivo: dc.typeArtigo-
Aparece nas coleções:Repositório Institucional da Universidade Federal de Lavras (RIUFLA)

Não existem arquivos associados a este item.