Heteroscedasticity checking in regression analysis plays an important role in modelling. It is of great interest when random errors are correlated, including autocorrelated and partial autocorrelated errors. In this paper, we consider multivariate <italic>t</italic> linear regression models, and construct the...

This article devotes to studying the variance change-points problem in student t linear regression models. By exploiting the equivalence of the student t distribution and an appropriate scale mixture of normal distributions, a Bayesian approach combined with Gibbs sampling is developed to detect...