Particle Learning for Fat-Tailed Distributions

DOI10.1080/07474938.2015.1092809zbMath1491.62161OpenAlexW2279276780MaRDI QIDQ5864517

Hedibert Freitas Lopes, Nicholas G. Polson

Publication date: 7 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.739.545

zbMATH Keywords

Bayesian inferencedynamic panel dataMCMCKullback-Leiblercredit crisis

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Sequential statistical analysis (62L10)

Related Items (3)

Sequential modeling, monitoring, and forecasting of streaming web traffic data ⋮ A family of multivariate non‐gaussian time series models ⋮ Model Selection and Shrinkage: An Overview

Uses Software

• Monomvn

Cites Work

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• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Computing Bayes Factors Using a Generalization of the Savage-Dickey Density Ratio
• Elements of Information Theory
• Limiting Behavior of Posterior Distributions when the Model is Incorrect
• Consistency a Posteriori
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