Monte Carlo EM estimation for multivariate stable distributions

Nalini Ravishanker and Zuqiang Qiou

Statistics & Probability Letters, 1999, vol. 45, issue 4, 335-340

Abstract: We describe parameter estimation for the multivariate sub-Gaussian symmetric stable distribution using Monte Carlo EM algorithm. Two augmented vectors are employed in the construction of the posterior joint density of the stable parameters. Gibbs sampling enables the generation of these vectors from their respective conditional posterior distributions and thus facilitates the expectation step of the algorithm.

Keywords: Gibbs; sampling; Posterior; mode; Ratio; of; uniforms; Rejection; algorithm; Sub-Gaussian; symmetric; stable; distribution (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (4)

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