Some Random Coefficient Models with Laplace Marginals
نویسنده
چکیده
In this paper, we study a first order random coefficient autoregressive model with Laplace distribution as marginal. A random coefficient moving average model of order one with Laplace as marginal distribution is introduced and its properties are studied. By combining the two models, we develop a first order random coefficient autoregressive moving average model with Laplace marginal and discuss its properties. A first order random coefficient moving average process with generalized Laplace innovations is also obtained.
منابع مشابه
Approximate Marginals in Latent Gaussian Models
We consider the problem of improving the Gaussian approximate posterior marginals computed by expectation propagation and the Laplace method in latent Gaussian models and propose methods that are similar in spirit to the Laplace approximation of Tierney and Kadane (1986). We show that in the case of sparse Gaussian models, the computational complexity of expectation propagation can be made comp...
متن کاملNORGES TEKNISK-NATURVITENSKAPELIGE UNIVERSITET Approximate Bayesian Inference for Multivariate Stochastic Volatility Models
In this report we apply Integrated Nested Laplace approximation (INLA) to a series of multivariate stochastic volatility models. These are a useful construct in financial time series analysis and can be formulated as latent Gaussian Markov Random Field (GMRF) models. This popular class of models is characterised by a GMRF as the second stage of the hierarchical structure and a vector of hyperpa...
متن کاملParameter Estimation in Spatial Generalized Linear Mixed Models with Skew Gaussian Random Effects using Laplace Approximation
Spatial generalized linear mixed models are used commonly for modelling non-Gaussian discrete spatial responses. We present an algorithm for parameter estimation of the models using Laplace approximation of likelihood function. In these models, the spatial correlation structure of data is carried out by random effects or latent variables. In most spatial analysis, it is assumed that rando...
متن کاملArchimedean copulas with applications to VaR estimation
Assuming absolute continuity of marginals, we give the distribution for sums of dependent random variables from some class of Archimedean copulas and the marginal distribution functions of all order statistics.We use conditional independence structure of random variables from this class of Archimedean copulas and Laplace transform. Additionally, we present an application of our results to VaR e...
متن کاملAsymmetric Univariate and Bivariate Laplace and Generalized Laplace Distributions
Alternative specifications of univariate asymmetric Laplace models are described and investigated. A more general mixture model is then introduced. Bivariate extensions of these models are discussed in some detail, with particular emphasis on associated parameter estimation strategies. Multivariate versions of the models are briefly introduced.
متن کامل