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Monte Carlo EM estimation for multivariate stable distributions

✍ Scribed by Nalini Ravishanker; Zuqiang Qiou

Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
97 KB
Volume
45
Category
Article
ISSN
0167-7152

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✦ Synopsis

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.

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