1 citations · 1 across the 3 of their papers we have counts for
3 papers
math.ST2022★ 1 cited
Specification tests for normal/gamma and stable/gamma stochastic frontier models based on empirical transforms
Christos K. Papadimitriou, Simos G. Meintanis, Bernardo B. Andrade +1
Goodness--of--fit tests for the distribution of the composed error term in a Stochastic Frontier Model (SFM) are suggested. The focus is on the case of a normal/gamma SFM and the h…
econ.EM2019
Bayesian estimation of large dimensional time varying VARs using copulas
Mike Tsionas, Marwan Izzeldin, Lorenzo Trapani
This paper provides a simple, yet reliable, alternative to the (Bayesian) estimation of large multivariate VARs with time variation in the conditional mean equations and/or in the…
stat.ME2015
Bayesian analysis of multivariate stable distributions using one-dimensional projections
Mike G. Tsionas
In this paper we take up Bayesian inference in general multivariate stable distributions. We exploit the representation of Matsui and Takemura (2009) for univariate projections, an…