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
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
Objective priors for the number of degrees of freedom of a multivariate t distribution and the t-copula
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
نویسندگان
, ,