On sampling the degree-of-freedom of Student's-\(t\) disturbances

DOI10.1016/S0167-7152(00)00221-2zbMath1082.62505MaRDI QIDQ5937063

Toshiaki Watanabe

Publication date: 2001

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Degree-of-freedomMetropolis-Hastings acceptance-rejection algorithmStudent's-t distribution

Mathematics Subject Classification ID

Bayesian inference (62F15)

Related Items (4)

The local theta correspondence of irreducible type 2 dual reductive pairs ⋮ On Data Augmentation for Models Involving Reciprocal Gamma Functions ⋮ An empirical evaluation of fat-tailed distributions in modeling financial time series ⋮ Bayesian and non-Bayesian analysis of gamma stochastic frontier models by Markov chain Monte Carlo methods

Cites Work

• Unnamed Item
• Bayes inference in regression models with ARMA\((p,q)\) errors
• Markov chains for exploring posterior distributions. (With discussion)
• On Bayesian Modeling of Fat Tails and Skewness

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