Bayesian analysis of multivariate stable distributions using one-dimensional projections

Tsionas, Efthymios (2016) Bayesian analysis of multivariate stable distributions using one-dimensional projections. Journal of Multivariate Analysis, 143. pp. 185-193. ISSN 0047-259X

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In this paper we take up Bayesian inference in general multivariate stable distributions. We exploit the representation of Matsui and Takemura (2009) for univariate projections, and the representation of the distributions in terms of their spectral measure. We present efficient MCMC schemes to perform the computations when the spectral measure is approximated discretely or, as we propose, by a normal distribution. Appropriate latent variables are introduced to implement MCMC. In relation to the discrete approximation, we propose efficient computational schemes based on the characteristic function.

Item Type:
Journal Article
Journal or Publication Title:
Journal of Multivariate Analysis
Additional Information:
This is the author’s version of a work that was accepted for publication in Journal of Multivariate Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Multivariate Analysis, 143, 2016 DOI: 10.1016/j.jmva.2015.09.005
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Deposited On:
07 Jan 2016 09:30
Last Modified:
22 Nov 2022 02:43