Bayesian analysis of multivariate stable distributions using one-dimensional projections

Mike Tsionas

Journal of Multivariate Analysis, 2016, vol. 143, issue C, 185-193

Abstract: 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.

Keywords: Multivariate stable distributions; Spectral measure; Markov Chain Monte Carlo; Bayesian inference (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:143:y:2016:i:c:p:185-193

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DOI: 10.1016/j.jmva.2015.09.005

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