1Medical School-USP, Ribeirão Preto, Brazil. Professor. Email: achcar@fmrp.usp.br
2Mathematics Institute-UFRGS, Porto Alegre, Brazil. Professor. Email: silvia.lopes@ufrgs.br
In this paper, we present some computational aspects for a Bayesian analysis involving stable distributions. It is well known that, in general, there is no closed form for the probability density function of a stable distribution. However, the use of a latent or auxiliary random variable facilitates obtaining any posterior distribution when related to stable distributions. To show the usefulness of the computational aspects, the methodology is applied to linear and non-linear regression models. Posterior summaries of interest are obtained using the OpenBUGS software.
Key words: Stable Laws, Bayesian Analysis, Mcmc Methods, OpenBUGS Software.
En este trabajo, presentamos algunos aspectos computacionales de análisis bayesiano con distribuciones estables. Es bien sabido que, en general, no hay forma cerrada para la función de densidad de probabilidad de distribuciones estables. Sin embargo, el uso de una variable aleatoria latente facilita obtener la distribución a posteriori. La metodologia se aplica a regresión lineal y non lineal utilizando el software OpenBUGS.
Palabras clave: leyes estable, análisis bayesiano, métodos MCMC, software OpenBUGS.
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Este artículo se puede citar en LaTeX utilizando la siguiente referencia bibliográfica de BibTeX:
@ARTICLE{RCEv39n1a08,
AUTHOR = {Achcar, Jorge A. and Lopes, SÍlvia R. C.},
TITLE = {{Linear and Non-Linear Regression Models Assuminga Stable Distribution}}, ]]>
JOURNAL = {Revista Colombiana de Estadística},
YEAR = {2016},
volume = {39},
number = {1},
pages = {109-128}
}