Bayesian inference for \(\alpha \)-stable distributions: a random walk MCMC approach

DOI10.1016/j.csda.2006.01.009zbMath1161.62342OpenAlexW1965501808MaRDI QIDQ1019893

Marco J. Lombardi

Publication date: 29 May 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.01.009

zbMATH Keywords

infinite variance

Mathematics Subject Classification ID

Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

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Cites Work

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• Calibrated FFT-based density approximations for \(\alpha\)-stable distributions
• Monte Carlo inference in econometric models with symmetric stable disturbances
• Maximum likelihood estimation of stable Paretian models.
• On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
• On some expansions of stable distribution functions
• Simple consistent estimators of stable distribution parameters
• Numerical calculation of stable densities and distribution functions
• On-line Bayesian estimation of signals in symmetric /spl alpha/-stable noise
• Bayesian Inference for Stable Distributions

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