Bayesian Inference for Stable Distributions
- 1 June 1995
- journal article
- research article
- Published by JSTOR in Journal of the American Statistical Association
- Vol. 90 (430) , 605
- https://doi.org/10.2307/2291072
Abstract
Very little work on stable distribution parameter estimation and inference appears in the literature due to the nonexistence of the probability density function. This has led in particular to a dearth of Bayesian work in this area. But Bayesian computation via Markov chain Monte Carlo allows us to sample from the distribution of the parameters of the stable distributions, by exploiting a particular mathematical representation involving the stable density.Keywords
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