Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Multivariate Pareto distributions
T2 - inference and financial applications
AU - Papadakis, Emmanuel N.
AU - Tsionas, Michael
PY - 2010/3/4
Y1 - 2010/3/4
N2 - Univariate Pareto distributions are extensively studied. In this article, we propose a Bayesian inference methodology in the context of multivariate Pareto distributions of the second kind (Mardia's type). Computational techniques organized around Gibbs sampling with data augmentation are proposed to implement Bayesian inference in practice. The new methods are shown to work well in artificial examples involving a trivariate distribution, and to an empirical application involving daily exchange rate data for four major currencies.
AB - Univariate Pareto distributions are extensively studied. In this article, we propose a Bayesian inference methodology in the context of multivariate Pareto distributions of the second kind (Mardia's type). Computational techniques organized around Gibbs sampling with data augmentation are proposed to implement Bayesian inference in practice. The new methods are shown to work well in artificial examples involving a trivariate distribution, and to an empirical application involving daily exchange rate data for four major currencies.
U2 - 10.1080/03610920902833560
DO - 10.1080/03610920902833560
M3 - Journal article
VL - 39
SP - 1013
EP - 1025
JO - Communications in Statistics - Theory and Methods
JF - Communications in Statistics - Theory and Methods
SN - 0361-0926
IS - 6
ER -