Bayesian inference of VaR based on SGT distribution

被引：0
|
作者：
Wang, Kai-Ming [1 ]
Pan, He-Ping [1 ,2 ,3 ]
Zhang, Yu-Zhong [4 ]
机构：
[1] School of Management and Economics, University of Electronic Science and Technology of China, Chengdu 610054, China
[2] Prediction Research Centre, University of Electronic Science and Technology of China, Chengdu 610054, China
[3] Finance Research of Center, Southwestern University of Finance and Economics, Chengdu 610054, China
[4] School of Applied Mathematics, University of Electronic Science and Technology of China, Chengdu 610054, China
来源：
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2010年 / 30卷 / 03期
关键词：
15;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
引用
收藏
页码：419 / 425
相关论文
共 50 条
  • [31] Bayesian inference for the distribution of grams of marijuana in a joint
    Ridgeway, Greg
    Kilmer, Beau
    DRUG AND ALCOHOL DEPENDENCE, 2016, 165 : 175 - 180
  • [32] On Bayesian inference for generalized multivariate gamma distribution
    Das, Sourish
    Dey, Dipak K.
    STATISTICS & PROBABILITY LETTERS, 2010, 80 (19-20) : 1492 - 1499
  • [33] On nonparametric Bayesian inference for the distribution of a random sample
    Gelfand, AE
    Mukhopadhyay, S
    CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE, 1995, 23 (04): : 411 - 420
  • [34] Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models
    Petrova, Katerina
    JOURNAL OF ECONOMETRICS, 2022, 230 (01) : 154 - 182
  • [35] Modeling vegetation cover distribution at different scales based on Bayesian statistical inference
    Zhang, XY
    Yan, GJ
    Mu, XH
    Wan, HW
    Shi, H
    Mao, DF
    Li, XW
    IGARSS 2004: IEEE INTERNATIONAL GEOSCIENCE AND REMOTE SENSING SYMPOSIUM PROCEEDINGS, VOLS 1-7: SCIENCE FOR SOCIETY: EXPLORING AND MANAGING A CHANGING PLANET, 2004, : 2727 - 2729
  • [36] Bayesian Inference of Ammunition Consumption Based on Normal-Inverse Gamma Distribution
    Liu, Haobang
    Shi, Xianming
    Chen, Xiaojuan
    Li, Yuan
    Zhao, Mei
    Jiang, Yongchao
    DISCRETE DYNAMICS IN NATURE AND SOCIETY, 2022, 2022
  • [37] Bayesian inference of Unit Gompertz distribution based on dual generalized order statistics
    Arshad, Mohd.
    J. Azhad, Qazi
    Gupta, Neetu
    Pathak, Ashok Kumar
    COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2023, 52 (08) : 3657 - 3675
  • [38] Bayesian inference of Weibull distribution based on left truncated and right censored data
    Kundu, Debasis
    Mitra, Debanjan
    COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2016, 99 : 38 - 50
  • [39] Bayesian inference and prediction of the Rayleigh distribution based on ordered ranked set sampling
    Kotb, Mohammed S.
    Raqab, Mohammad Z.
    COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2018, 47 (03) : 905 - 923
  • [40] Objective Bayesian inference based on upper record values from Rayleigh distribution
    Seo, Jung In
    Kim, Yongku
    COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS, 2018, 25 (04) : 411 - 430
12345