PUMA
Istituto di Scienza e Tecnologie dell'Informazione     
Salas-Gonzalez D., Kuruoglu E. E. Bayesian mixture of stable distribution Matlab Codes v1.0. Internal note ISTI-005/2007, Internal note, 2007.
 
 
Abstract
(English)
This document describes the MatLab codes used to perform the simulations presented in [Salas-Gonzalez et al., 2006b] in which a fully Bayesian framework is presented for the estimation of the stable density parameters and the mixture parameters in an α-stable mixture model. The model order is assumed unknown and is estimated using reversible jump Markov chain Monte Carlo (RJMCMC).
Subject Alpha-stable distribution
Mixture distributions
Bayesian estimation
Reversible jump Markov chain Monte Carlo
G.3 Probability and Statistics. Distribution functions
G.3 Probability and Statistics. Probabilistic algorithms (including Monte Carlo)


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