Bayesian modelling of skewness and kurtosis with two-piece scale and shape distributions
From MaRDI portal
Publication:887248
DOI10.1214/15-EJS1060zbMath1331.62090arXiv1406.7674MaRDI QIDQ887248
Mark F. J. Steel, Francisco J. Rubio
Publication date: 28 October 2015
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1406.7674
posterior existenceprior elicitationmodel comparisonscale mixtures of normalsunimodal continuous distributions
Related Items
A simulation study to compare reference and other priors in the case of a standard univariate Student t-distribution ⋮ On modelling asymmetric data using two-piece sinh-arcsinh distributions ⋮ Objective priors for the number of degrees of freedom of a multivariate \(t\) distribution and the \(t\)-copula ⋮ Two-piece power normal distribution ⋮ Objective Bayesian analysis for the multivariate skew-\(t\) model ⋮ Letter to the Editor: ‘On Quantile‐based Asymmetric Family of Distributions: Properties and Inference’ ⋮ Response to the Letter to the Editor on ‘On Quantile‐based Asymmetric Family of Distributions: Properties and Inference’ ⋮ On Families of Distributions with Shape Parameters ⋮ Flexible asymmetric multivariate distributions based on two-piece univariate distributions ⋮ Time-varying asymmetry and tail thickness in long series of daily financial returns ⋮ On a transform for modeling skewness ⋮ Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach ⋮ Flexible linear mixed models with improper priors for longitudinal and survival data ⋮ Creating new distributions by blunting cusps ⋮ Letter to the editor: On the use of improper priors for the shape parameters of asymmetric exponential power models ⋮ An alternative skew exponential power distribution formulation
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Linear Mixed Models with Flexible Distributions of Random Effects for Longitudinal Data
- Gamma shape mixtures for heavy-tailed distributions
- Properties and estimation of asymmetric exponential power distribution
- On modelling asymmetric data using two-piece sinh-arcsinh distributions
- Misspecifying the shape of a random effects distribution: why getting it wrong may not matter
- On parameter orthogonality in symmetric and skew models
- Multivariate skewing mechanisms: a unified perspective based on the transformation approach
- Bayesian inference for double Pareto lognormal queues
- Lambert \(W\) random variables -- a new family of generalized skewed distributions with applications to risk estimation
- Statistical inference for a general class of asymmetric distributions
- A generalized asymmetric Student-\(t\) distribution with application to financial econometrics
- Kurtosis modelling by means of the \(J\)-transformation
- Power kurtosis transformations: definition, properties and ordering
- Inference in two-piece location-scale models with Jeffreys priors
- Objective prior for the number of degrees of freedom of a \(t\) distribution
- Bayesian inference for \(P(X<Y)\) using asymmetric dependent distributions
- Robustness of ranking and selection rules using generalised \(g\)-and-\(k\) distributions
- Skew \(t\) distributions via the sinh-arcsinh transformation
- Skewed multivariate models related to hidden truncation and/or selective reporting. With discussion and a rejoinder by the authors.
- The epsilon-skew-normal distribution for analyzing near-normal data
- On the half-Cauchy prior for a global scale parameter
- A general purpose sampling algorithm for continuous distributions (the t-walk)
- Modeling and Inference with v-Spherical Distributions
- The Double Pareto-Lognormal Distribution—A New Parametric Model for Size Distributions
- Objective Bayesian analysis for the Student-t regression model
- Sinh-arcsinh distributions
- On Bayesian Modeling of Fat Tails and Skewness
- Normal Variance-Mean Mixtures and z Distributions
- Autoregressive Conditional Density Estimation
- Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
- A Skew Extension of the T-Distribution, with Applications
- Statistics of Extremes
- BAYESIAN REGRESSION ANALYSIS WITH SCALE MIXTURES OF NORMALS
- Flexible modelling in statistics: past, present and future
- Asymmetry and Gradient Asymmetry Functions: Density‐Based Skewness and Kurtosis
- Estimation of ordinary differential equation parameters using constrained local polynomial regression
- A Constructive Representation of Univariate Skewed Distributions
- SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
- Flexible univariate continuous distributions
- Letter to the editor: On the use of improper priors for the shape parameters of asymmetric exponential power models
