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Estimation for multivariate stable distributions with generalized empirical likelihood

โœ Scribed by Ogata, Hiroaki


Book ID
118200435
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
914 KB
Volume
172
Category
Article
ISSN
0304-4076

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Monte Carlo EM estimation for multivaria
โœ Nalini Ravishanker; Zuqiang Qiou ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 97 KB

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