کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
417568 681534 2012 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Likelihood-free Bayesian inference for αα-stable models
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
Likelihood-free Bayesian inference for αα-stable models
چکیده انگلیسی

αα-stable distributions are utilized as models for heavy-tailed noise in many areas of statistics, finance and signal processing engineering. However, in general, neither univariate nor multivariate αα-stable models admit closed form densities which can be evaluated pointwise. This complicates the inferential procedure. As a result, αα-stable models are practically limited to the univariate setting under the Bayesian paradigm, and to bivariate models under the classical framework. A novel Bayesian approach to modelling univariate and multivariate αα-stable distributions is introduced, based on recent advances in “likelihood-free” inference. The performance of this procedure is evaluated in 1, 2 and 3 dimensions, and through an analysis of real daily currency exchange rate data. The proposed approach provides a feasible inferential methodology at a moderate computational cost.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 56, Issue 11, November 2012, Pages 3743–3756
نویسندگان
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