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Linear and Non-Linear Regression Models Assuming a Stable Distribution
Modelos de regresión lineal y no lineal suponiendo una distribución estable
DOI:
https://doi.org/10.15446/rce.v39n1.55144Keywords:
Stable Laws, Bayesian Analysis, Mcmc Methods, OpenBUGS Software (en)Leyes estable, Análisis bayesiano, Métodos MCMC, Software OpenBUGS. (es)
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.
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 metodología se aplica a regresión lineal y non lineal utilizando el software OpenBUGS.
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