Sampling-based inference of time deformation models with heavy tail distributions

DOI10.1080/03610918.2014.922982MaRDI QIDQ2828698zbMATH OpenOpenAlexFDO

Authors Zhongxian Men, Tony S. Wirjanto, Adam W. Kolkiewicz

Publication date 26 October 2016

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2014.922982

zbMATH Keywords

Bayesian inferenceleverage effectMarkov Chain Monte Carloprobability integral transformslice samplertime-deformation model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Alternative models for stock price dynamics.
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Convergence of Slice Sampler Markov Chains
• Efficiency and Convergence Properties of Slice Samplers
• Slice sampling. (With discussions and rejoinder)
• The Econometrics of Ultra-high-frequency Data

Cited in

(2)

• Sampling at a random time with a heavy-tailed distribution
• OPTIMUM DESIGN OF SAMPLING TIMES FOR INFERENCE OF COMPARTMENT MODELS BASED ON CURVATURE

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