Particle learning for fat-tailed distributions

DOI10.1080/07474938.2015.1092809MaRDI QIDQ5864517zbMATH OpenOpenAlexFDO

Authors Hedibert F. Lopes, Nicholas G. Polson

Publication date 7 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.739.545

zbMATH Keywords

Bayesian inferencecredit crisisdynamic panel dataKullback-LeiblerMCMC

Mathematics Subject Classification ID

Bayesian inference (62F15) Sequential statistical analysis (62L10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Recommendations

• On Bayesian Modeling of Fat Tails and Skewness
• Statistical inference in the presence of heavy tails
• Particle filters and Bayesian inference in financial econometrics
• Tail inference: where does the tail begin?
• Bayesian analysis of stochastic volatility models with flexible tails

Cites work

• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Bayesian forecasting and dynamic models.
• Computing Bayes Factors Using a Generalization of the Savage-Dickey Density Ratio
• Consistency a Posteriori
• Elements of Information Theory
• scientific article; zbMATH DE number 3954098 (Why is no real title available?)
• scientific article; zbMATH DE number 3276287 (Why is no real title available?)
• scientific article; zbMATH DE number 3189754 (Why is no real title available?)
• Limiting Behavior of Posterior Distributions when the Model is Incorrect
• Markov chain Monte Carlo methods for stochastic volatility models.
• Markov chain Monte Carlo. Stochastic simulation for Bayesian inference.
• Merging of Opinions with Increasing Information
• Objective Bayesian analysis for the Student-t regression model
• On a Measure of the Information Provided by an Experiment
• On Bayesian Modeling of Fat Tails and Skewness
• Particle filters and Bayesian inference in financial econometrics
• Particle learning and smoothing
• Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
• Shrinkage regression for multivariate inference with missing data, and an application to portfolio balancing
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• The HESSIAN method: highly efficient simulation smoothing, in a nutshell
• The Oxford handbook of applied Bayesian analysis

Cited in

(4)

• Sequential modeling, monitoring, and forecasting of streaming web traffic data
• A family of multivariate non‐gaussian time series models
• Model Selection and Shrinkage: An Overview
• Kalman filtering and sequential Bayesian analysis

Describes a project that uses

Uses Software

• Monomvn

This page was built for publication: Particle learning for fat-tailed distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5864517)