English

Likelihood-free Bayesian inference for alpha-stable models

Computation 2009-12-24 v1

Abstract

α\alpha-stable distributions are utilised as models for heavy-tailed noise in many areas of statistics, finance and signal processing engineering. However, in general, neither univariate nor multivariate α\alpha-stable models admit closed form densities which can be evaluated pointwise. This complicates the inferential procedure. As a result, α\alpha-stable models are practically limited to the univariate setting under the Bayesian paradigm, and to bivariate models under the classical framework. In this article we develop a novel Bayesian approach to modelling univariate and multivariate α\alpha-stable distributions based on recent advances in "likelihood-free" inference. We present an evaluation of the performance of this procedure in 1, 2 and 3 dimensions, and provide an analysis of real daily currency exchange rate data. The proposed approach provides a feasible inferential methodology at a moderate computational cost.

Keywords

Cite

@article{arxiv.0912.4729,
  title  = {Likelihood-free Bayesian inference for alpha-stable models},
  author = {G. W. Peters and S. A. Sisson and Y. Fan},
  journal= {arXiv preprint arXiv:0912.4729},
  year   = {2009}
}
R2 v1 2026-06-21T14:27:56.945Z