Likelihood-free Bayesian inference for \(\alpha\)-stable models

From MaRDI portal
Publication:1927152

DOI10.1016/j.csda.2010.10.004zbMath1255.62071arXiv0912.4729OpenAlexW4376453858MaRDI QIDQ1927152

Yanan Fan, Gareth W. Peters, Scott A. Sisson

Publication date: 30 December 2012

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

Full work available at URL: https://arxiv.org/abs/0912.4729



Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).


Related Items (22)

Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihoodA transdimensional approximate Bayesian computation using the pseudo-marginal approach for model choiceAn approximate likelihood perspective on ABC methodsGoodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statisticsLikelihood-free Bayesian estimation of multivariate quantile distributionsA nonlinear population Monte Carlo scheme for the Bayesian estimation of parameters of \(\alpha\)-stable distributionsUnbiased MLMC-based Variational Bayes for Likelihood-Free InferenceSome analytical results on bivariate stable distributions with an application in operational riskApproximate Bayesian Computation for a Class of Time Series ModelsThe sparse method of simulated quantiles: An application to portfolio optimizationSpatio‐Temporal Dependence Measures for Bivariate AR(1) Models with α‐Stable NoiseLikelihood-free inference in state-space models with unknown dynamicsVariational Bayes with synthetic likelihoodA simple approach to maximum intractable likelihood estimationAnalytic loss distributional approach models for operational risk from the \(\alpha\)-stable doubly stochastic compound processes and implications for capital allocationA characteristic function-based approach to approximate maximum likelihood estimationImpact of insurance for operational risk: is it worthwhile to insure or be insured for severe losses?Random attractors for stochastic Navier-Stokes equation on a 2D rotating sphere with stable Lévy noiseGeneralized multiple-point Metropolis algorithms for approximate Bayesian computationExpectation Propagation for Likelihood-Free InferenceEstimation of time-varying autoregressive stochastic volatility models with stable innovationsAuxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models


Uses Software


Cites Work


This page was built for publication: Likelihood-free Bayesian inference for \(\alpha\)-stable models