Monte Carlo EM estimation for multivariate stable distributions
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Publication:1808689
DOI10.1016/S0167-7152(99)00075-9zbMath0945.62059OpenAlexW2063389691MaRDI QIDQ1808689
Zuqiang Qiou, Ravishanker, Nalini
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
rejection algorithmGibbs samplingposterior moderatio of uniformssub-Gaussian symmetric stable distribution
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Related Items (4)
Bayesian analysis of multivariate stable distributions using one-dimensional projections ⋮ Estimation of the precision matrix of a multivariate elliptically contoured stable distribution ⋮ Estimation for multivariate stable distributions with generalized empirical likelihood ⋮ Monte Carlo EM estimation for multivariate stable distributions
Cites Work
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- Estimation of stable spectral measures
- Monte Carlo EM estimation for multivariate stable distributions
- MULTIVARIATE STABLE FUTURES PRICES
- Computer Generation of Random Variables Using the Ratio of Uniform Deviates
- Bayesian Inference for Stable Distributions
- Estimation in Univariate and Multivariate Stable Distributions
- Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.
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