Robustness via a mixture of exponential power distributions

Authors:
Alon Hazan;Zinoviy Landsman;Udi E. Makov
Affiliations:
Department of Statistics, University of Haifa, Mount Carmel, Haifa 31905, Israel;Department of Statistics, University of Haifa, Mount Carmel, Haifa 31905, Israel;Department of Statistics, University of Haifa, Mount Carmel, Haifa 31905, Israel
Venue:
Computational Statistics & Data Analysis
Year:
2003

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Abstract

A mixture of exponential power distributions (EPD) is suggested and is shown to possess robust qualities. The Gibbs sampler is applied for estimating the unknown parameters of the model and its algorithm is devised in order to allow a wide range of prior distributions for the unknown parameters. Numerical studies, using real financial data, demonstrate the effectiveness of the proposed model and a theoretical study explains the superiority of the EPD mixture over a normal mixture.