5 papers · 1 filter
Exact Likelihood Inference and Robust Filtering for Gauss-Cauchy Convolution Models
Peter Reinhard Hansen, Chen Tong
The convolution of a Gaussian and a Cauchy distribution, known as the Voigt distribution, is widely used in spectroscopy and provides a natural framework for modeling heavy-tailed…
Tweedie's Formula and Score-Driven Updating
Peter Reinhard Hansen, Chen Tong
Score-driven models update time-varying parameters using conditional likelihood scores. This paper develops a Bayesian interpretation of such updates through Tweedie's formula, whi…
Moments by Integrating the Moment-Generating Function
Peter Reinhard Hansen, Chen Tong
We introduce a general integral framework for computing fractional, complex, absolute, and logarithmic moments from the moment-generating function (MGF) under explicit regularity c…
Cluster GARCH
Chen Tong, Peter Reinhard Hansen, Ilya Archakov
We introduce a novel multivariate GARCH model with flexible convolution-t distributions that is applicable in high-dimensional systems. The model is called Cluster GARCH because it…
Convolution-t Distributions
Peter Reinhard Hansen, Chen Tong
We introduce a new class of multivariate heavy-tailed distributions that are convolutions of heterogeneous multivariate t-distributions. Unlike commonly used heavy-tailed distribut…