- Testing for mean reversion in Bitcoin returns with Gibbs ...
- (PDF) Estimating the volatility of Bitcoin using GARCH models
- The Statistics of Bitcoin and Cryptocurrencies Normal ...
- Statistical Analysis of the Exchange Rate of Bitcoin
- bayesian - Choosing Prior for $\sigma^2$ in the Normal ...

I'm trying to do a bayesian gamma regression with stan. I know the correct link function is the inverse canonical link, but if i dont use a log link parameters can be negative, and enter in a gamma distribution with a negative value, that obviously can't be possible. Hierarchical Bayesian Regression, Can an Inverse-Gamma distributed Variance look Normal or t? Using Peter Hoff's book, A First Course in Bayesian Statistical Methods, I used some of my own data to fit a Hierarchical Bayesian Regression following his example. In his book, he utilized a Gibbs ... distributions bayesian variance hierarchical-bayesian inverse-gamma. asked Jul 11 '15 at 6:39. TSP ... Section 3 discusses fifteen distributions for the log-returns of the exchange rate of Bitcoin. These distributions are the normal, Student’ t, logistic, Laplace, exponential power, skew normal, skew t, generalized t, skewed exponential power, asymmetric exponential power, skewed Student’s t, asymmetric Student’s t, normal inverse gamma ... Bitcoin, the first electronic payment system, is becoming a popular currency. We provide a statistical analysis of the log-returns of the exchange rate of Bitcoin versus the United States Dollar. Fifteen of the most popular parametric distributions in finance are fitted to the log-returns. The generalized hyperbolic distribution is shown to give the best fit. If the researcher is interested in predicting the price of Bitcoin, the two best‐performing models are the TTVP specification and the Bayesian VAR with a normal‐gamma shrinkage prior. Interestingly, note that the comparatively weaker joint performance of the BVAR models stems from weaker Litecoin and Ethereum predictions, whereas Bitcoin predictions appear to be rather precise.

[index] [15238] [4415] [22776] [37179] [12220] [20681] [11455] [16959] [48461] [10071]

Putting a Gamma distribution prior on the inverse variance. Also a pre-cursor to Relevance Vector Machines 03-5 multivariate normal and inverse wishart distributions ... The gamma distribution - an introduction - Duration: 17:28. Ox educ 120,750 views. 17:28. Top Eigenvalue of a Random Matrix: A tale ... This Demonstration shows a path of the normal inverse Gaussian (NIG) Levy process and the graph of the probability density of the process at various moments in time. The NIG process is a pure-jump ... Variational Bayesian Approximation for Linear Inverse Problems with a hierarchical prior models (1) by Ali Mohammad-Djafari. This video provides some intuition for the properties of the posterior distribution for the case of a normal prior and likelihood. If you are interested in s...