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  • STABLE_JMVA_final_July_27_2015

    Rights statement: This is the author’s version of a work that was accepted for publication in Journal of Multivariate Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Multivariate Analysis, 143, 2016 DOI: 10.1016/j.jmva.2015.09.005

    Accepted author manuscript, 554 KB, PDF document

    Available under license: CC BY-NC-ND: Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License

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Bayesian analysis of multivariate stable distributions using one-dimensional projections

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Published
<mark>Journal publication date</mark>01/2016
<mark>Journal</mark>Journal of Multivariate Analysis
Volume143
Number of pages9
Pages (from-to)185-193
Publication StatusPublished
Early online date30/09/15
<mark>Original language</mark>English

Abstract

In this paper we take up Bayesian inference in general multivariate stable distributions. We exploit the representation of Matsui and Takemura (2009) for univariate projections, and the representation of the distributions in terms of their spectral measure. We present efficient MCMC schemes to perform the computations when the spectral measure is approximated discretely or, as we propose, by a normal distribution. Appropriate latent variables are introduced to implement MCMC. In relation to the discrete approximation, we propose efficient computational schemes based on the characteristic function.

Bibliographic note

This is the author’s version of a work that was accepted for publication in Journal of Multivariate Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Multivariate Analysis, 143, 2016 DOI: 10.1016/j.jmva.2015.09.005