On sampling the degree-of-freedom of Student's-t disturbances

Toshiaki Watanabe

Statistics & Probability Letters, 2001, vol. 52, issue 2, 177-181

Abstract: In a Bayesian analysis of a model with Student's-t disturbances developed by Geweke (J. Appl. Econom. 8 (1993) S19), and Fernández and Steel (J. Amer. Statist. Assoc. 93 (1998) 359), the degree-of-freedom of Student's-t disturbances, if unknown, must be sampled from its conditional distribution. This article presents a new method for this sampling using a Metropolis-Hastings acceptance-rejection algorithm proposed by Tierney (Ann. Statist. 21 (1994) 1701). The acceptance probabilities in both the acceptance-rejection and Metropolis-Hastings parts of this method are shown to exceed 95%.

Keywords: Degree-of-freedom; Metropolis-Hastings; acceptance-rejection; algorithm; Student's-t; distribution (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (10)

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