Bayesian Inference for Stable Distributions
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Publication:4844194
DOI10.2307/2291072zbMATH Open0826.62020OpenAlexW4242522981MaRDI QIDQ4844194FDOQ4844194
Publication date: 21 August 1995
Full work available at URL: https://doi.org/10.2307/2291072
Infinitely divisible distributions; stable distributions (60E07) Bayesian inference (62F15) Random number generation in numerical analysis (65C10)
Cited In (42)
- Likelihood-free Bayesian inference for \(\alpha\)-stable models
- A note on scale mixtures of skew normal distribution
- Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
- Title not available (Why is that?)
- Bayesian inference for \(\alpha \)-stable distributions: a random walk MCMC approach
- Minimum chi-squared estimation of stable distributions parameters: An application to the Warsaw Stock Exchange
- Indirect Estimation of α-Stable Distributions and Processes
- Monte Carlo inference in econometric models with symmetric stable disturbances
- Consistent tests for symmetric stability with finite mean based on the empirical characteristic function
- Bayesian inference for multivariate survival data with a cure fraction
- A nonlinear population Monte Carlo scheme for the Bayesian estimation of parameters of \(\alpha\)-stable distributions
- Testing the goodness-of-fit of the stable distributions with applications to German Stock Index data and Bitcoin cryptocurrency data
- Evaluation of the MEMM, parameter estimation and option pricing for geometric Lévy processes
- Monte Carlo EM estimation for multivariate stable distributions
- Measurement error in linear regression models with fat tails and skewed errors
- Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models
- Additive positive stable frailty models
- Testing for persistence in stock returns with GARCH-stable shocks
- Minimum-Distance Estimator for Stable Exponent
- Goodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statistics
- Regularized parameter estimation of high dimensional distribution
- Inference for Lévy-driven stochastic volatility models via adaptive sequential Monte Carlo
- Fast approximate likelihood evaluation for stable VARFIMA processes
- Exponential dispersion models and credibility
- Multivariate Survival Analysis with Positive Stable Frailties
- Banks' criterion and symmetric stable laws with index of stability between one-half and one
- Bayesian analysis of multivariate stable distributions using one-dimensional projections
- Bayesian Inference Using Artificial Augmenting Regressions
- The study of a function relating to stable distributions
- Characteristic functions of scale mixtures of multivariate skew-normal distributions
- Stability of Bayes Decisions and Applications
- The method of simulated quantiles
- Multiplicative random walk Metropolis-Hastings on the real line
- Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
- Bayes factors and marginal distributions in invariant situations
- Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations
- Fast Bayesian estimation for VARFIMA processes with stable errors
- Efficient posterior integration in stable paretian models
- Indirect estimation of \(\alpha \)-stable stochastic volatility models
- A Bayesian approach for estimating the parameters of an α-stable distribution
- Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models
- Precise tabulation of the maximally-skewed stable distributions and densities
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