On Bayesian modeling of fat tails and skewness.

Journal of the American Statistical Association | March 1, 1998| | Copyright

1. INTRODUCTION

This article aims at including two pervasive features of empirical data in statistical modeling and inference. In particular, we introduce a class of sampling models that can simultaneously account for both skewness and fat tails, and conduct Bayesian inference in the context of a regression model with unknown scale. Quite surprisingly, the currently existing toolbox for handling the common phenomenon of skewed data with fat tails seems rather limited. Buckle (1995) provided a Bayesian analysis using stable laws. In addition, we can mention a few ...

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