T distributed errors nathan

donotdespair / Bayesian-Autoregressions

A collaborative repository highlighting Bayesian autoregressive analysis with extensions. It is prepared by the students of Macroeconometrics at the University of Melbourne.

https://donotdespair.github.io/Bayesian-Autoregressions/

MIT License

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T distributed errors nathan #20

Closed nathanh93 closed 1 year ago

nathanh93 commented 1 year ago

Hi @donotdespair ,

Here is my pull request for my contribution to the 'Student t Errors' section of the collaborative repository.

I have included the following points as requested:

Motivation for t-distributed errors
Presentation of the scale mixture representation
Full conditionals for the parameters
Gibbs sampler including extension

Thanks!

donotdespair commented 1 year ago

Hey @nathanh93

This is such a good submission! Thank you so much! All is correct and the section is comprevensive! Fantastic!

Greetings, T