Bayesian analysis based on the Jeffreys prior for the hyperbolic distribution

DOI10.1214/11-BJPS142MaRDI QIDQ447973zbMATH OpenOpenAlexFDO

Authors Thaís C. O. Fonseca, Helio S. Migon, Marco A. R. Ferreira

Publication date 30 August 2012

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.bjps/1341320246

zbMATH Keywords

asymmetryheavy tailsnoninformative priornormal-mean mixture

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Point estimation (62F10) Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32)

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Cites work

• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• scientific article; zbMATH DE number 3930122 (Why is no real title available?)
• scientific article; zbMATH DE number 3770749 (Why is no real title available?)
• scientific article; zbMATH DE number 1390900 (Why is no real title available?)
• A note on reference priors for the scalar skew-normal distribution
• Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms
• Bias reduction of maximum likelihood estimates
• Hyperbolic distributions in finance
• Models for non-Gaussian variation, with applications to turbulence
• Objective Bayesian analysis for the Student-t regression model
• Statistical properties of the generalized inverse Gaussian distribution
• The Skew-normal Distribution and Related Multivariate Families*
• The Two-Dimensional Hyperbolic Distribution and Related Distributions, with an Application to Johannsen's Bean Data
• The extended generalized inverse Gaussian distribution for log-linear and stochastic volatility models

Cited in

(8)

• Method to obtain a vector of hyperparameters: application in Bernoulli trials
• On the computation of multivariate scenario sets for the skew-\(t\) and generalized hyperbolic families
• Log-symmetric distributions: statistical properties and parameter estimation
• Penalized maximum likelihood estimation in the modified extended Weibull distribution
• Rejoinder: ``Inference in two-piece location-scale models with Jeffreys priors
• Fast and scalable computations for Gaussian hierarchical models with intrinsic conditional autoregressive spatial random effects
• On modelling asymmetric data using two-piece sinh-arcsinh distributions
• Option pricing with bivariate risk-neutral density via copula and heteroscedastic model: a Bayesian approach

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