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On Bayesian Modelling of Fat Tails and Skewness

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  • Fernández, C.
  • Steel, M.F.J.

    (Tilburg University, Center For Economic Research)

Abstract

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Suggested Citation

  • Fernández, C. & Steel, M.F.J., 1996. "On Bayesian Modelling of Fat Tails and Skewness," Discussion Paper 1996-58, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:0991c197-c9e8-4904-8119-3ced8ff5a04b
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    References listed on IDEAS

    as
    1. Fernandez, C. & Steel, M.F.J., 1995. "reference Priors in Non-Normal Location Problems," Papers 9591, Tilburg - Center for Economic Research.
    2. Geweke, John, 1994. "Priors for Macroeconomic Time Series and Their Application," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 609-632, August.
    3. Fernández, C. & Steel, M.F.J., 1996. "On Bayesian Inference under Sampling from Scale Mixtures of Normals," Other publications TiSEM 10be2f67-1679-4828-bba6-7, Tilburg University, School of Economics and Management.
    4. R. C. H. Cheng, 1977. "The Generation of Gamma Variables with Non‐Integral Shape Parameter," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 26(1), pages 71-75, March.
    5. Roberts, G. O. & Smith, A. F. M., 1994. "Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms," Stochastic Processes and their Applications, Elsevier, vol. 49(2), pages 207-216, February.
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