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Human immunodeficiency virus (HIV) dynamics have been the focus of epidemiological and biostatistical research during the past decades to understand the progression of acquired immunodeficiency syndrome (AIDS) in the population. Although there are several approaches for modeling HIV dynamics, one of the most popular is based on Gaussian mixed‐effects models because of its simplicity from the implementation and interpretation viewpoints. However, in some situations, Gaussian mixed‐effects models cannot (a) capture serial correlation existing in longitudinal data, (b) deal with missing observations properly, and (c) accommodate skewness and heavy tails frequently presented in patients' profiles. For those cases, mixed‐effects state‐space models (MESSM) become a powerful tool for modeling correlated observations, including HIV dynamics, because of their flexibility in modeling the unobserved states and the observations in a simple way. Consequently, our proposal considers an MESSM where the observations' error distribution is a skew‐t. This new approach is more flexible and can accommodate data sets exhibiting skewness and heavy tails. Under the Bayesian paradigm, an efficient Markov chain Monte Carlo algorithm is implemented. To evaluate the properties of the proposed models, we carried out some exciting simulation studies, including missing data in the generated data sets. Finally, we illustrate our approach with an application in the AIDS Clinical Trial Group Study 315 (ACTG‐315) clinical trial data set. [ABSTRACT FROM AUTHOR]

In this paper, we introduce a robust extension of the three-factor model of Diebold and Li ( J. Econometrics, 130: 337-364, 2006) using the class of symmetric scale mixtures of normal distributions. Specific distributions examined include the multivariate normal, Student- t, slash, and variance gamma distributions. In the presence of non-normality in the data, these distributions provide an appealing robust alternative to the routine use of the normal distribution. Using a Bayesian paradigm, we developed an efficient MCMC algorithm for parameter estimation. Moreover, the mixing parameters obtained as a by-product of the scale mixture representation can be used to identify outliers. Our results reveal that the Diebold-Li models based on the Student- t and slash distributions provide significant improvement in in-sample fit and out-of-sample forecast to the US yield data than the usual normal-based model. Copyright © 2011 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR]

The modified mixture model with Markov switching volatility specification is introduced to analyze the relationship between stock return volatility and trading volume. We propose to construct an algorithm based on Markov chain Monte Carlo simulation methods to estimate all the parameters in the model using a Bayesian approach. The series of returns and trading volume of the British Petroleum stock will be analyzed. Copyright © 2009 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR]