Monte Carlo EM estimation for multivariate stable distributions

DOI10.1016/S0167-7152(99)00075-9MaRDI QIDQ1808689zbMATH OpenOpenAlexFDO

Authors Zuqiang Qiou, Nalini Ravishanker

Publication date 9 February 2000

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(99)00075-9

zbMATH Keywords

Gibbs samplingrejection algorithmposterior moderatio of uniformssub-Gaussian symmetric stable distribution

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Estimation in multivariate analysis (62H12)

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Cites work

• scientific article; zbMATH DE number 3947305 (Why is no real title available?)
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• scientific article; zbMATH DE number 3090541 (Why is no real title available?)
• Bayesian Inference for Stable Distributions
• Computer Generation of Random Variables Using the Ratio of Uniform Deviates
• Estimation in Univariate and Multivariate Stable Distributions
• Estimation of stable spectral measures
• MULTIVARIATE STABLE FUTURES PRICES
• Monte Carlo EM estimation for multivariate stable distributions
• Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.

Cited in

(8)

• Approximate EM algorithm for sparse estimation of multivariate location-scale mixture of normals
• Estimation of the precision matrix of a multivariate elliptically contoured stable distribution
• Parameter estimation of \(\alpha\)-stable distributions using a DRAM algorithm
• Monte Carlo EM estimation for multivariate stable distributions
• EM-estimation and modeling of heavy-tailed processes with the multivariate normal inverse Gaussian distribution
• Bayesian analysis of multivariate stable distributions using one-dimensional projections
• Estimation for multivariate stable distributions with generalized empirical likelihood
• Malliavin-based multilevel Monte Carlo estimators for densities of max-stable processes

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