Monte Carlo EM estimation for multivariate stable distributions

DOI10.1016/S0167-7152(99)00075-9zbMath0945.62059OpenAlexW2063389691MaRDI QIDQ1808689

Zuqiang Qiou, Ravishanker, Nalini

Publication date: 9 February 2000

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(99)00075-9

zbMATH Keywords

rejection algorithmGibbs samplingposterior moderatio of uniformssub-Gaussian symmetric stable distribution

Mathematics Subject Classification ID

Related Items (4)

Bayesian analysis of multivariate stable distributions using one-dimensional projections ⋮ Estimation of the precision matrix of a multivariate elliptically contoured stable distribution ⋮ Estimation for multivariate stable distributions with generalized empirical likelihood ⋮ Monte Carlo EM estimation for multivariate stable distributions

Cites Work

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• Estimation of stable spectral measures
• Monte Carlo EM estimation for multivariate stable distributions
• MULTIVARIATE STABLE FUTURES PRICES
• Computer Generation of Random Variables Using the Ratio of Uniform Deviates
• Bayesian Inference for Stable Distributions
• Estimation in Univariate and Multivariate Stable Distributions
• Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.

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