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Estimation in Univariate and Multivariate Stable Distributions

โœ Scribed by S. James Press


Book ID
125214892
Publisher
American Statistical Association
Year
1972
Tongue
English
Weight
851 KB
Volume
67
Category
Article
ISSN
0162-1459

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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