TY - JOUR
T1 - Robustness via mixtures of exponential power distributions
AU - Makov, Ehud
AU - Hazan, Alon
AU - Landsman, Zinoviy
PY - 2003
Y1 - 2003
N2 - 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.
AB - 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.
U2 - https://doi.org/10.1016/S0167-9473(02)00153-6
DO - https://doi.org/10.1016/S0167-9473(02)00153-6
M3 - Article
SN - 0167-9473
VL - 42
SP - 111
EP - 121
JO - Computational Statistics and Data Analysis
JF - Computational Statistics and Data Analysis
IS - 1-2
ER -