Model-based Clustering of non-Gaussian Panel Data Based on Skew-t Distributions

  title={Model-based Clustering of non-Gaussian Panel Data Based on Skew-t Distributions},
  author={M. A. Ju{\'a}rez and Mark F. J. Steel},
We propose a model-based method to cluster units within a panel. The underlying model is autoregressive and non-Gaussian, allowing for both skewness and fat tails, and the units are clustered according to their dynamic behaviour, equilibrium level and the effect of covariates. Inference is addressed from a Bayesian perspective and model comparison is conducted using the formal tool of Bayes factors. Particular attention is paid to prior elicitation and posterior propriety. We suggest priors… CONTINUE READING
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