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A Locally Both Leptokurtic and Fat-Tailed Distribution with Application in a Bayesian Stochastic Volatility Model.
Lukasz Lenart
Anna Pajor
Lukasz Kwiatkowski
Published in:
Entropy (2021)
Keyphrases
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prior knowledge
bayesian inference
gaussian distribution
formal model
bayesian framework
stochastic model
bayesian learning
experimental data
management system
mathematical model
stock market
computational model
probability density function
model selection
em algorithm
power law
probability distribution
high level