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Loss-based approach to two-piece location-scaledistributions with applications to dependent data

Villa, Cristiano, Leisen, Fabrizio, Rossini, Luca (2019) Loss-based approach to two-piece location-scaledistributions with applications to dependent data. Statistical Methods & Applications, . ISSN 1618-2510. E-ISSN 1613-981X. (doi:10.1007/s10260-019-00481-x)

Abstract

Two-piece location-scale models are used for modeling data presenting departuresfrom symmetry. In this paper, we propose an objective Bayesian methodology forthe tail parameter of two particular distributions of the above family: the skewedexponential power distribution and the skewed generalised logistic distribution. Weapply the proposed objective approach to time series models and linear regressionmodels where the error terms follow the distributions object of study. The performanceof the proposed approach is illustrated through simulation experiments and real dataanalysis. The methodology yields improvements in density forecasts, as shown by theanalysis we carry out on the electricity prices in Nordpool markets.

Item Type: Article
DOI/Identification number: 10.1007/s10260-019-00481-x
Uncontrolled keywords: Bayesian inference, Loss-based prior, Objective Bayes, Electricity prices
Subjects: H Social Sciences > HA Statistics
Q Science > QA Mathematics (inc Computing science) > QA276 Mathematical statistics
Divisions: Faculties > Sciences > School of Mathematics Statistics and Actuarial Science > Statistics
Depositing User: Cristiano Villa
Date Deposited: 27 Jun 2019 07:09 UTC
Last Modified: 28 Jun 2019 10:58 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/74608 (The current URI for this page, for reference purposes)
Villa, Cristiano: https://orcid.org/0000-0002-2670-2954
Leisen, Fabrizio: https://orcid.org/0000-0002-2460-6176
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