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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2015.4
- 수록면
- 487 - 493 (7page)
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초록· 키워드
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Time series data sometimes show violation of normal assumptions. For cases where the assumption of normality is untenable, moreexible models can be adopted to accommodate heavy tails. The exponential power distribution (EPD) is considered as possible candidate for errors of time series model that may show violation of normal assumption. Besides, the use ofexible models for errors like EPD might be able to conduct the robust analysis. In this paper, we especially consider EPD as the flexible distribution for errors of autoregressive models. Also, we represent this distribution as scale mixture of uniform and this form enables efficient Bayesian estimation via Markov chain Monte Carlo (MCMC) methods.
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참고문헌 (6)
참고문헌 신청
1. [단행본] - Box, G. E. P. / 1992 / Bayesian inference in statistical analysis / Wiley
2. [학술지(정기간행물)] - DiCiccio, T. J. / 2004 / Inferential aspects of the skew exponential power distribution / Journal of the American Statistical Association 99 : 439 ~ 450
3. [학술지(정기간행물)] - Fernandez, C. / 1998 / On Bayesian modeling of fat tails and skewness / Journal of the American Statistical Association 93 : 359 ~ 571
4. [학술지(정기간행물)] - Salazar, E. / 2012 / Objective Bayesian analysis for exponential power regression models / Aankhya B 74 : 107 ~ 125
5. [단행본] - Walker, S. G. / 1999 / Bayesian Statistics 6 / Oxford University Press : 685 ~ 710
2. [학술지(정기간행물)] - DiCiccio, T. J. / 2004 / Inferential aspects of the skew exponential power distribution / Journal of the American Statistical Association 99 : 439 ~ 450
3. [학술지(정기간행물)] - Fernandez, C. / 1998 / On Bayesian modeling of fat tails and skewness / Journal of the American Statistical Association 93 : 359 ~ 571
4. [학술지(정기간행물)] - Salazar, E. / 2012 / Objective Bayesian analysis for exponential power regression models / Aankhya B 74 : 107 ~ 125
5. [단행본] - Walker, S. G. / 1999 / Bayesian Statistics 6 / Oxford University Press : 685 ~ 710
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UCI(KEPA) : I410-ECN-0101-2018-041-001376365