which allows for skewness in the form of contraction/dilation along a subset of the prinicpal axis. The paper derives some … properties for this distribution, including its moment generating function, multivariate skewness and kurtosis. Maximum … likelihood estimation is discussed and a complete Bayesian analysis of the multivariate split normal distribution is developed. …

variables that account for skewness and heavy tails are identically and independently distributed. The second model, ODLV …

characteristic functions are compared, and (ii) the estimation of the spectral measure through which the distributions are de ned in …

calibrated forecasts compared to maximum likelihood estimation. From a theoretical perspective, both estimators are consistent …

We consider nonparametric estimation of a mixed discrete-continuous distribution under anisotropic smoothness … derive lower bounds on the estimation rates in the total variation distance. Next, we consider a nonparametric mixture of … normals models can be used for optimal adaptive estimation of mixed discretecontinuous distributions. …

This book presents in detail methodologies for the Bayesian estimation of single-regime and regime-switching GARCH … attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements … the Bayesian paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal …