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Bayesian Estimation of Generalized Hyperbolic Skewed Student GARCH Models

Deschamps, Philippe J. - 2012

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

Persistent link: https://www.econbiz.de/10013105412

Fitting a distribution to survey data for the half-life of deviations from PPP

Fisher, Mark - 2015

This note presents a nonparametric Bayesian approach to fitting a distribution to the survey data provided in Kilian and Zha (2002) regarding the prior for the half-life of deviations from purchasing power parity (PPP). A point mass at infinity is included. The unknown density is represented as...

Persistent link: https://www.econbiz.de/10011403123

Bayesian Inference in Multivariate Stable Distributions

Tsionas, Efthymios G. - 2013

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

Persistent link: https://www.econbiz.de/10013087020

Adaptive Bayesian estimation of mixed discrete-continuous distributions under smoothness and sparsity

Norets, Andriy; Pelenis, Justinas - 2018

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. …

Persistent link: https://www.econbiz.de/10011895828

Moments of standardized Fernandez-Steel skewed distributions : applications to the estimation of GARCH-type models

Trottier, Denis-Alexandre; Ardia, David - In: Finance research letters 18 (2016), pp. 311-316

Persistent link: https://www.econbiz.de/10011657263

Modeling Dependence Using Skew T Copulas : Bayesian Inference and Applications

Smith, Michael S. - 2010

We construct a copula from the skew t distribution of Sahu, Dey & Branco (2003). This copula can capture asymmetric and extreme dependence between variables, and is one of the few copulas that can do so and still be used in high dimensions effectively. However, it is difficult to estimate the...

Persistent link: https://www.econbiz.de/10013145057

Joint Bayesian analysis of parameters and states in nonlinear, non-Gaussian state space models

Barra, István; Hoogerheide, Lennart; Koopman, Siem Jan; … - 2014

We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when these proposal densities are used in an independent...

Persistent link: https://www.econbiz.de/10010399681

Empirical likelihood based testing for multivariate regular variation

Einmahl, John H. J.; Krajina, Andrea - 2023

Persistent link: https://www.econbiz.de/10013475286

Maximum Likelihood Estimator for the Uneven Power Distribution : Application to DJI Returns

Kontek, Krzysztof - 2010

This paper deals with estimating peaked densities over the interval [0,1] using the Uneven Two-Sided Power Distribution (UTP). This distribution is the most complex of all the bounded power distributions introduced by Kotz and van Dorp (2004). The UTP maximum likelihood estimator, a result not...

Persistent link: https://www.econbiz.de/10013144110

Estimation of P (X<Y) for generalized half logistic distribution based on Type-II censored data

Roy, Soumya; Pradhan, Biswabrata; Gijo, E. V. - In: International journal of quality & reliability management 34 (2017) 7, pp. 1111-1122

Persistent link: https://www.econbiz.de/10011778965