Browsing by Author "Loschi, RH"

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    A Gibbs sampling scheme to the product partition model: an application to change-point problems
    (PERGAMON-ELSEVIER SCIENCE LTD, 2003) Loschi, RH; Cruz, FRB; Iglesias, PL; Arellano Valle, RB
    This paper extends previous results for the classical product partition model applied to the identification of multiple change points in the means and variances of time series. Prior distributions for these two parameters and for the probability p that a change takes place at a particular period of time are considered and a new scheme based on Gibbs sampling to estimate the posterior relevances of the model is proposed. The resulting algorithm is applied to the analysis of two Brazilian stock market data. The computational experiments seem to indicate that the algorithm runs fast in common PC-like machines and it may be a useful tool for analyzing change-point problems.
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    Predictivistic characterizations of multivariate student-t models
    (ACADEMIC PRESS INC ELSEVIER SCIENCE, 2003) Loschi, RH; Iglesias, PL; Arellano Valle, RB
    De Finetti style theorems characterize models (predictive distributions) as mixtures of the likelihood function and the prior distribution, beginning from some judgment of invariance about observable quantities. The likelihood function generally has its functional form identified from invariance assumptions only. However, we need additional conditions on observable quantities (typically, assumptions on conditional expectations) to identify the prior distribution. In this paper, we consider some well-known invariance assumptions and establish additional conditions on observable quantities in order to obtain a predictivistic characterization of the multivariate and matrix-variate Student-t distributions as well as for the Student-t linear model. As a byproduct, a characterization for the Pearson type 11 distribution is provided. (C) 2003 Elsevier Science (USA). All rights reserved.