Bayesian Inference in Generalized Error and Generalized Student-tRegression Models

DOI10.1080/03610920701653151zbMATH Open1318.62093OpenAlexW2123258349MaRDI QIDQ5457969FDOQ5457969

Efthymios G. Tsionas

Publication date: 10 April 2008

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920701653151

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zbMATH Keywords

Bayesian inferenceexchange rateslinear modelindirect inferenceMonte Carlo methodsgeneralized error distributiongeneralized \(t\) distribution

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to economics (62P20)

Cites Work

• The Calculation of Posterior Distributions by Data Augmentation
• Title not available (Why is that?)
• Some Generalized Functions for the Size Distribution of Income
• Sampling-Based Approaches to Calculating Marginal Densities
• Computing Bayes Factors Using a Generalization of the Savage-Dickey Density Ratio
• A new method of estimation for location and scale parameters
• On the tiku-suresh method of estimation
• Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms
• Gibbs Sampling for Bayesian Non-Conjugate and Hierarchical Models by Using Auxiliary Variables
• Parametric models for partially adaptive estimation with skewed and leptokurtic residuals
• Alternative beta estimation for the market model using partially adaptive techniques

Cited In (5)

• Robust Bayesian Regression Analysis Using Ramsay-Novick Distributed Errors with Student-t Prior
• On estimation and influence diagnostics for log-Birnbaum-Saunders Student-\(t\) regression models: full Bayesian analysis
• Theoretical properties of Bayesian Student-\(t\) linear regression
• Bayesian calibration under a Student-\(t\) model
• Bayesian estimation of a multivariate TAR model when the noise process follows a Student-t distribution

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