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A Locally Both Leptokurtic and Fat-Tailed Distribution with Application in a Bayesian Stochastic Volatility Model
In the paper, we begin with introducing a novel scale mixture of normal distribution such that its leptokurticity and fat-tailedness are only local, with this “locality” being separately controlled by two censoring parameters. This new, locally leptokurtic and fat-tailed (LLFT) distribution makes a...
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| Publicat a: | Entropy (Basel) |
|---|---|
| Autors principals: | , , |
| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
MDPI
2021
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| Matèries: | |
| Accés en línia: | https://ncbi.nlm.nih.gov/pmc/articles/PMC8227642/ https://ncbi.nlm.nih.gov/pubmed/34070709 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.3390/e23060689 |
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