Volume 18, Issue 4, December 2019, Pages 375 - 386
Bayesian Analysis of Inverse Gaussian Stochastic Conditional Duration Model
Authors
C.G. Sri Ranganath*, N. Balakrishna
Department of Statistics, Cochin University of Science and Technology, Cochin, Kerala, 682022, India
*Corresponding author. Email: cg.srirang@gmail.com
Corresponding Author
C.G. Sri Ranganath
Received 20 September 2017, Accepted 21 October 2019, Available Online 20 November 2019.
- DOI
- 10.2991/jsta.d.191031.001How to use a DOI?
- Keywords
- Stochastic conditional duration; Bayesian analysis; Markov Chain Monte Carlo; Inverse Gaussian distribution; Slice sampler
- Abstract
This paper discusses Bayesian analysis of stochastic conditional duration model when the innovations follow inverse Gaussian distribution. Estimation is carried out by the methods of Markov Chain Monte Carlo. Applications of the model and methods are illustrated through simulation and data analysis.
- Copyright
- © 2019 The Authors. Published by Atlantis Press SARL.
- Open Access
- This is an open access article distributed under the CC BY-NC 4.0 license (http://creativecommons.org/licenses/by-nc/4.0/).
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TY - JOUR AU - C.G. Sri Ranganath AU - N. Balakrishna PY - 2019 DA - 2019/11/20 TI - Bayesian Analysis of Inverse Gaussian Stochastic Conditional Duration Model JO - Journal of Statistical Theory and Applications SP - 375 EP - 386 VL - 18 IS - 4 SN - 2214-1766 UR - https://doi.org/10.2991/jsta.d.191031.001 DO - 10.2991/jsta.d.191031.001 ID - SriRanganath2019 ER -