Villa, C;
Rubio, FJ;
(2018)
Objective priors for the number of degrees of freedom of a multivariate t distribution and the t-copula.
Computational Statistics and Data Analysis
, 124
pp. 197-219.
10.1016/j.csda.2018.03.010.
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Abstract
An objective Bayesian approach to estimate the number of degrees of freedom (ν) for the multivariate t distribution and for the t-copula, when the parameter is considered discrete, is proposed. Inference on this parameter has been problematic for the multivariate t and, for the absence of any method, for the t-copula. An objective criterion based on loss functions which allows to overcome the issue of defining objective probabilities directly is employed. The support of the prior for ν is truncated, which derives from the property of both the multivariate t and the t-copula of convergence to normality for a sufficiently large number of degrees of freedom. The performance of the priors is tested on simulated scenarios and on real data: daily logarithmic returns of IBM and of the Center for Research in Security Prices Database. 1
| Type: | Article |
|---|---|
| Title: | Objective priors for the number of degrees of freedom of a multivariate t distribution and the t-copula |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1016/j.csda.2018.03.010 |
| Publisher version: | http://dx.doi.org/10.1016/j.csda.2018.03.010 |
| Language: | English |
| Additional information: | This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions. |
| Keywords: | Information loss, Kullback–Leibler divergence, Log-returns, Multivariate distribution, Objective prior-copula |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Statistical Science |
| URI: | https://discovery-pp.ucl.ac.uk/id/eprint/10126578 |
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