Controlling the Flexibility of Non-Gaussian Processes Through Shrinkage Priors
Author:
Affiliation:
1. Statistics Program, Computer, Electrical and Mathematical Sciences and Engineering Division, King Abdullah University of Science and Technology (KAUST), Thuwal 23955-6900, Kingdom of Saudi Arabia
Publisher
Institute of Mathematical Statistics
Subject
Applied Mathematics,Statistics and Probability
Reference40 articles.
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4. Barndorff-Nielsen, O. E. (1997). “Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling.” Scandinavian Journal of Statistics, 24(1): 1–13. URL http://www.jstor.org/stable/4616433
5. Barndorff-Nielsen, O. E., Mikosch, T., and Resnick, S. I. (2012). Lévy processes: theory and applications. Springer Science & Business Media.
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1. Fitting Latent Non-Gaussian Models Using Variational Bayes and Laplace Approximations;Journal of the American Statistical Association;2023-12-21
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