Bayesian analysis based on the Jeffreys prior for the hyperbolic distribution

DOI10.1214/11-BJPS142zbMath1319.62060OpenAlexW2008408285MaRDI QIDQ447973

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

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

Related Items (7)

Log-symmetric distributions: statistical properties and parameter estimation ⋮ On modelling asymmetric data using two-piece sinh-arcsinh distributions ⋮ On the computation of multivariate scenario sets for the skew-\(t\) and generalized hyperbolic families ⋮ 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 ⋮ Option pricing with bivariate risk-neutral density via copula and heteroscedastic model: a Bayesian approach

Uses Software

• R
• sn

Cites Work

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