On sampling the degree-of-freedom of Student's-t disturbances
AbstractIn a Bayesian analysis of a model with Student's-t disturbances developed by Geweke (J. Appl. Econom. 8 (1993) S19), and Fernández and Steel (J. Amer. Statist. Assoc. 93 (1998) 359), the degree-of-freedom of Student's-t disturbances, if unknown, must be sampled from its conditional distribution. This article presents a new method for this sampling using a Metropolis-Hastings acceptance-rejection algorithm proposed by Tierney (Ann. Statist. 21 (1994) 1701). The acceptance probabilities in both the acceptance-rejection and Metropolis-Hastings parts of this method are shown to exceed 95%.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 52 (2001)
Issue (Month): 2 (April)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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