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 …

We ask whether Bayesian estimation creates a potential estimation bias as compared with standard estimation techniques … based on the data, such as maximum likelihood or indirect estimation. We investigate this with a Monte Carlo experiment in … alternative. The Bayesian estimation of macro models may thus give very misleading results by placing too much weight on prior …

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

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 …

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. …