Robustness via a mixture of exponential power distributions

Alon Hazan, Zinoviy Landsman, Udi E. Makov

Research output: Contribution to journalArticlepeer-review

Abstract

A mixture of exponential power distributions (EPD) is suggested and is shown to possess robust qualities. The Gibbs sampler is applied for estimating the unknown parameters of the model and its algorithm is devised in order to allow a wide range of prior distributions for the unknown parameters. Numerical studies, using real financial data, demonstrate the effectiveness of the proposed model and a theoretical study explains the superiority of the EPD mixture over a normal mixture.

Original languageEnglish
Pages (from-to)111-121
Number of pages11
JournalComputational Statistics and Data Analysis
Volume42
Issue number1-2
DOIs
StatePublished - 19 Feb 2003

Keywords

  • Adaptive rejection sampling algorithm
  • Exponential power distribution
  • Gibbs sampler
  • Mixture
  • Robustness

ASJC Scopus subject areas

  • Statistics and Probability
  • Computational Mathematics
  • Computational Theory and Mathematics
  • Applied Mathematics

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