کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
6868720 | 1440032 | 2018 | 34 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Objective priors for the number of degrees of freedom of a multivariate t distribution and the t-copula
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
An objective Bayesian approach to estimate the number of degrees of freedom (ν) for the multivariate t distribution and for the t-copula, when the parameter is considered discrete, is proposed. Inference on this parameter has been problematic for the multivariate t and, for the absence of any method, for the t-copula. An objective criterion based on loss functions which allows to overcome the issue of defining objective probabilities directly is employed. The support of the prior for ν is truncated, which derives from the property of both the multivariate t and the t-copula of convergence to normality for a sufficiently large number of degrees of freedom. The performance of the priors is tested on simulated scenarios 1and on real data: daily logarithmic returns of IBM and of the Center for Research in Security Prices Database.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 124, August 2018, Pages 197-219
Journal: Computational Statistics & Data Analysis - Volume 124, August 2018, Pages 197-219
نویسندگان
Cristiano Villa, Francisco J. Rubio,