A nonlinear population Monte Carlo scheme for the Bayesian estimation of parameters of -stable distributions

DOI10.1016/J.CSDA.2015.09.007zbMATH Open1468.62105arXiv1510.02702OpenAlexW2202617390MaRDI QIDQ1659482FDOQ1659482

Authors: Eugenia Koblents, Joaquín Míguez, M. Rodríguez, Alexandra M. Schmidt 

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Abstract: The class of $alpha$-stable distributions enjoys multiple practical applications in signal processing, finance, biology and other areas because it allows to describe interesting and complex data patterns, such as asymmetry or heavy tails, in contrast with the simpler and widely used Gaussian distribution. The density associated with a general $alpha$-stable distribution cannot be obtained in closed form, which hinders the process of estimating its parameters. A nonlinear population Monte Carlo (NPMC) scheme is applied in order to approximate the posterior probability distribution of the parameters of an $alpha$-stable random variable given a set of random realizations of the latter. The approximate posterior distribution is computed by way of an iterative algorithm and it consists of a collection of samples in the parameter space with associated nonlinearly-transformed importance weights. A numerical comparison of the main existing methods to estimate the $alpha$-stable parameters is provided, including the traditional frequentist techniques as well as a Markov chain Monte Carlo (MCMC) and a likelihood-free Bayesian approach. It is shown by means of computer simulations that the NPMC method outperforms the existing techniques in terms of parameter estimation error and failure rate for the whole range of values of $alpha$, including the smaller values for which most existing methods fail to work properly. Furthermore, it is shown that accurate parameter estimates can often be computed based on a low number of observations. Additionally, numerical results based on a set of real fish displacement data are provided.

Full work available at URL: https://arxiv.org/abs/1510.02702

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zbMATH Keywords

Bayesian inferenceimportance samplinganimal movement\(\alpha\)-stable distributionsLévy process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Monte Carlo methods (65C05) Applications of statistics to environmental and related topics (62P12)

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Cited In (9)

• On variance stabilisation in population Monte Carlo by double Rao-Blackwellisation
• Likelihood-free Bayesian inference for \(\alpha\)-stable models
• Bayesian inference for \(\alpha \)-stable distributions: a random walk MCMC approach
• Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws
• Fast parallel \(\alpha \)-stable distribution function evaluation and parameter estimation using OpenCL in GPGPUs
• Parameter estimation of \(\alpha\)-stable distributions using a DRAM algorithm
• Goodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statistics
• Nonparametric estimation of the kernel function of symmetric stable moving average random functions
• Bayesian computation methods for inference in stochastic kinetic models

Uses Software

• Matlab
• STABLE

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