An application of Bayesian seemingly unrelated regression models with flexible tails

DOI10.1007/978-3-319-54084-9_11zbMATH Open1364.62169OpenAlexW2608488854MaRDI QIDQ5267861FDOQ5267861

Authors Charles Au, S. T. Boris Choy

Publication date 13 June 2017

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-54084-9_11

zbMATH Keywords

Markov chain Monte Carlo (MCMC)capital asset pricing model (CAPM)modified multivariate \(t\)-distributionscale mixtures of normal (SMN)

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3442988 (Why is no real title available?)
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Bayesian Measures of Model Complexity and Fit
• Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms
• Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations
• Deviance information criteria for missing data models
• Efficient Bayesian inference for Gaussian copula regression models

Cited in

(5)

• Using mixtures in seemingly unrelated linear regression models with non-normal errors
• Flexible objective Bayesian linear regression with applications in survival analysis
• scientific article; zbMATH DE number 5160947 (Why is no real title available?)
• Robust Bayesian seemingly unrelated regression model
• On Bayesian analysis of seemingly unrelated regression model with skew distribution error

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