Objective Bayesian analysis for the multivariate skew-t model
نویسندگان
چکیده
منابع مشابه
Objective Bayesian Analysis for the Multivariate Normal Model
Objective Bayesian inference for the multivariate normal distribution is illustrated, using different types of formal objective priors (Jeffreys, invariant, reference and matching), different modes of inference (Bayesian and frequentist), and different criteria involved in selecting optimal objective priors (ease of computation, frequentist performance, marginalization paradoxes, and decision-t...
متن کاملBayesian skew selection for multivariate models
We develop a Bayesian approach for the selection of skew in multivariate skew t distributions constructed through hidden conditioning in the manners suggested by either Azzalini and Capitanio (2003) or Sahu, Dey and Branco (2003). We show that the skew coefficients for each margin are the same for the standardized versions of both distributions. We introduce binary indicators to denote whether ...
متن کاملBayesian analysis of multivariate stochastic volatility with skew distribution
Multivariate stochastic volatility models with skew distributions are proposed. Exploiting Cholesky stochastic volatility modeling, univariate stochastic volatility processes with leverage effect and generalized hyperbolic skew t-distributions are embedded to multivariate analysis with time-varying correlations. Bayesian prior works allow this approach to provide parsimonious skew structure and...
متن کاملA Multivariate Skew-garch Model
Empirical research on European stock markets has shown that they behave differently according to the performance of the leading financial market identified as the US market. A positive sign is viewed as good news in the international financial markets, a negative sign means, conversely, bad news. As a result, we assume that European stock market returns are affected by endogenous and exogenous ...
متن کاملBayesian inference for the multivariate skew-normal model: A population Monte Carlo approach
Frequentist and likelihood based methods of inference encounter several difficulties with the multivariate skew-normal model. In spite of the popularity of this class of densities, there are no broadly satisfactory solutions for estimation and testing problems. In this paper we propose a general population Monte Carlo algorithm which exploits the stochastic representation of the skew-normal ran...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Statistical Methods & Applications
سال: 2017
ISSN: 1618-2510,1613-981X
DOI: 10.1007/s10260-017-0404-0