Efficient posterior integration in stable paretian models

DOI10.1007/BF02925925zbMATH Open0954.62028MaRDI QIDQ1580845FDOQ1580845

Authors: Efthymios G. Tsonias 

Publication date: 14 September 2000

Published in: Statistical Papers (Search for Journal in Brave)

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zbMATH Keywords

stable distributionsstock returnsMarkov Chain Monte CarloMetropolis random walk chain

Mathematics Subject Classification ID

Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Title not available (Why is that?)
• On Some Fourier Methods for Inference
• Title not available (Why is that?)
• Markov chains for exploring posterior distributions. (With discussion)
• Sampling-Based Approaches to Calculating Marginal Densities
• Monte Carlo sampling methods using Markov chains and their applications
• Modeling asset returns with alternative stable distributions^*
• On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
• Stable distributions for asset returns
• A Comedy of Errors: The Canonical Form for a Stable Characteristic Function
• Estimation in Univariate and Multivariate Stable Distributions
• Bayesian Inference for Stable Distributions
• Tables and graphs of the stable probability density functions
• Parameter Estimation for Symmetric Stable Distribution
• Monte Carlo inference in econometric models with symmetric stable disturbances
• Estimation of Stable Law Parameters: Stock Price Behavior Application

Cited In (5)

• Linear and non-linear regression models assuminga stable distribution
• Bayesian inference in regression with Pearson disturbances
• Approximating posteriors with high-dimensional nuisance parameters via integrated rotated Gaussian approximation
• Bayesian analysis of multivariate stable distributions using one-dimensional projections
• Standardized posterior mode for the flexible use of a conjugate prior

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