Bayesian inference for time series with stable innovations

Journal of Time Series Analysis

Volumn 19, Issue 2, 1998, Pages 235-249

  Qiou, Zuqiang ^a   Ravishanker, Nalini ^a  

^a UNIVERSITY OF CONNECTICUT   (United States)

Author keywords

ARMA process; Infinite variance; Metropolis Hastings algorithm; Posterior density

Indexed keywords

EID: 0346966135     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00088     Document Type: Article

References (14)

1. BHANSALI, R. J. (1993) Estimation of the impulse coefficients of a linear process with infinite variance. J. Multivariate Anal. 45, 274-90.
2. BUCKLE, D. J. (1995) Bayesian inference for stable distributions. J. Am. Stat. Assoc. 90, 605-13.
3. CHIB, S. and GREENBERG, E. (1995) Understanding the Metropolis-Hastings algorithm. Am. Stat., 49, 327-35.
4. CLINE, D. B. H. and BROCKWELL, P. J. (1985) Linear prediction of ARMA processes with infinite variance. Stochastic Processes Appl. 19, 281-96.
5. DAVIS, R. and RESNICK, S. (1985) Limit theory for moving averages of random variable with regularly varying tail probabilities. Ann. Probab. 13, 179-95.
6. DEVROYE, (1986) Nonuniform Random Variate Generation. New York: Springer.
7. DUMOUCHEL, W. H. (1973) On the asymptotic normality of the maximum likelihood estimate when sampling from a stable distribution. Anal. Stat. 1, 948-57.
8. GELFAND, A. E. and SMITH, A. F. M. (1990) Sampling based approaches to calculating marginal densities. J. Am. Stat. Assoc. 85, 398-409.
9. GELMAN, A. and RUBIN, D. B. (1992) Inference from iterative simulation using multiple sequences with discussion. Stat. Sci. 7 (4), 457-511.
10. GNEDENKO, B. V. and KOLMOGOROV, A. N. (1954) Limit Distribution for Sums of Independent Random Variables (trans. K. L. Chung). Reading, MA: Addison-Wesley.
11. GRANGER, C. W. J. and ORR, D. (1972) Infinite variance and research strategy in time series analysis. J. Am. Stat. Assoc. 67, 275-85.
12. KNIGHT, K. (1987) Rate of convergence of centered estimates of autoregressive parameters for infinite variance autoregressions. J. Time Ser. Anal. 8, 51-60.
13. QIOU, Z. and RAVISHANKER, N. (1995) Bayesian inference for stable law parameters. Technical Report 95-23, University of Connecticut.
14. SAMORODNITSKY, G. and TAQQU, M. S. (1994) Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance. New York: Chapman and Hall.