Loss-based approach to two-piece location-scale distributions with applications to dependent data

DOI10.1007/S10260-019-00481-XMaRDI QIDQ2218635zbMATH OpenOpenAlexWikidataFDO

Authors Fabrizio Leisen, Luca Rossini, Cristiano Villa

Publication date 15 January 2021

Published in Statistical Methods and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1802.05292

zbMATH Keywords

Bayesian inferenceelectricity pricesloss-based priorobjective Bayes

Mathematics Subject Classification ID

Bayesian inference (62F15) Generalized linear models (logistic models) (62J12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Abstract: Two-piece location-scale models are used for modeling data presenting departures from symmetry. In this paper, we propose an objective Bayesian methodology for the tail parameter of two particular distributions of the above family: the skewed exponential power distribution and the skewed generalised logistic distribution. We apply the proposed objective approach to time series models and linear regression models where the error terms follow the distributions object of study. The performance of the proposed approach is illustrated through simulation experiments and real data analysis. The methodology yields improvements in density forecasts, as shown by the analysis we carry out on the electricity prices in Nordpool markets.

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Cited in

(2)

• On a transform for modeling skewness
• Bayesian estimation of electricity price risk with a multi-factor mixture of densities

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