Efficient posterior integration in stable paretian models

DOI10.1007/BF02925925MaRDI QIDQ1580845zbMATH OpenFDO

Authors Efthymios G. Tsonias

Publication date 14 September 2000

Published in Statistical Papers (Search for Journal in Brave)

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)

Recommendations

• Simple, scalable and accurate posterior interval estimation
• Efficient Stochastic Approaches for Multidimensional Integrals in Bayesian Statistics
• Parallelized integrated nested Laplace approximations for fast Bayesian inference
• Exact and efficient inference for partial Bayes problems
• scientific article; zbMATH DE number 5280144
• Efficient Bayesian Inference for Dynamic Mixture Models
• Accurate Approximations for Posterior Moments and Marginal Densities
• Rapid Bayesian Inference for Expensive Stochastic Models

Cites work

• scientific article; zbMATH DE number 3947305 (Why is no real title available?)
• scientific article; zbMATH DE number 3757516 (Why is no real title available?)
• A Comedy of Errors: The Canonical Form for a Stable Characteristic Function
• Bayesian Inference for Stable Distributions
• Estimation in Univariate and Multivariate Stable Distributions
• Estimation of Stable Law Parameters: Stock Price Behavior Application
• Generalized autoregressive conditional heteroscedasticity
• Markov chains for exploring posterior distributions. (With discussion)
• Modeling asset returns with alternative stable distributions^*
• Monte Carlo inference in econometric models with symmetric stable disturbances
• Monte Carlo sampling methods using Markov chains and their applications
• On Some Fourier Methods for Inference
• On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
• Parameter Estimation for Symmetric Stable Distribution
• Sampling-Based Approaches to Calculating Marginal Densities
• Stable distributions for asset returns
• Tables and graphs of the stable probability density functions

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

This page was built for publication: Efficient posterior integration in stable paretian models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1580845)