Bayesian Inference Using Artificial Augmenting Regressions

DOI10.1080/03610920802431044MaRDI QIDQ5321937zbMATH OpenOpenAlexFDO

Authors Efthymios G. Tsionas

Publication date 16 July 2009

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920802431044

zbMATH Keywords

Bayesian inferenceextreme valuesGibbs samplingMarkov chain Monte CarloPareto distributionsregressionstable distributions

Mathematics Subject Classification ID

Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32) Numerical analysis or methods applied to Markov chains (65C40)

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Cites work

• An algorithm for evaluating stable densities in Zolotarev's (M) parameterization
• Bayesian Inference for Stable Distributions
• Gibbs Sampling for Bayesian Non-Conjugate and Hierarchical Models by Using Auxiliary Variables
• scientific article; zbMATH DE number 3141621 (Why is no real title available?)
• scientific article; zbMATH DE number 3947305 (Why is no real title available?)
• scientific article; zbMATH DE number 1454116 (Why is no real title available?)
• Markov chains for exploring posterior distributions. (With discussion)
• Monte Carlo inference in econometric models with symmetric stable disturbances
• Sampling-Based Approaches to Calculating Marginal Densities
• Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms
• The Calculation of Posterior Distributions by Data Augmentation
• Using simulation methods for bayesian econometric models: inference, development,and communication

Cited in

(2)

• Data augmentation for models based on rejection sampling
• Exact Bayesian inference via data augmentation

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