Sampling-based Inference of Time Deformation Models with Heavy Tail Distributions

DOI10.1080/03610918.2014.922982zbMath1349.62419OpenAlexW1965003173MaRDI QIDQ2828698

Zhongxian Men, Tony S. Wirjanto, Adam W. Kolkiewicz

Publication date: 26 October 2016

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2014.922982

zbMATH Keywords

Bayesian inferenceleverage effectprobability integral transformMarkov Chain Monte Carloslice samplertime-deformation model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Alternative models for stock price dynamics.
• Slice sampling. (With discussions and rejoinder)
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Convergence of Slice Sampler Markov Chains
• Efficiency and Convergence Properties of Slice Samplers
• The Econometrics of Ultra-high-frequency Data

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