Bayesian Inference of the Regression Model with Error Terms Following the Exponential Power Distribution and Unbiasedness of the LAD Estimator

DOI10.1080/03610920701649092zbMath1318.62094OpenAlexW1978717107MaRDI QIDQ5450549

Hiroki Tsurumi, Haruhiko Shimizu

Publication date: 12 March 2008

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920701649092

zbMATH Keywords

unbiasednessexponential power distributionpredictive densityLAD estimatormodified efficient jumping algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Estimation in multivariate analysis (62H12) Bayesian inference (62F15)

Cites Work

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• On scale mixtures of normal distributions
• An equilibrium characterization of the term structure
• Bayesian, MLE, and GMM Estimation of a Spot Rate Model

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