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Bayesian inference for stable distributions. (English) Zbl 0826.62020
Summary: Very little work on stable distribution parameter estimation and inference appears in the literature due to the nonexistence of the probability density function. This has led in particular to a dearth of Bayesian work in this area. But Bayesian computation via Markov chain Monte Carlo allows us to sample from the distribution of the parameters of the stable distributions, by exploiting a particular mathematical representation involving the stable density.

MSC:
62F15 Bayesian inference
65C10 Random number generation in numerical analysis
60E07 Infinitely divisible distributions; stable distributions
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