文章基本信息

标题：Bayesian Analysis of Inverse Gaussian Stochastic Conditional Duration Model
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作者：C.G. Sri Ranganath ; N. Balakrishna
期刊名称：Journal of Statistical Theory and Applications (JSTA)
电子版ISSN：1538-7887
出版年度：2019
卷号：18
期号：4
页码：375-386
DOI：10.2991/jsta.d.191031.001
语种：English
出版社：Atlantis Press
摘要：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.
关键词：Stochastic conditional duration; Bayesian analysis; Markov Chain Monte Carlo; Inverse Gaussian distribution; Slice sampler