Measuring Bayesian Robustness Using Rényi Divergence
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- Bentes, Sónia R. & Menezes, Rui & Mendes, Diana A., 2008.
"Long memory and volatility clustering: Is the empirical evidence consistent across stock markets?,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3826-3830.
- Sonia R. Bentes & Rui Menezes & Diana A. Mendes, 2007. "Long Memory and Volatility Clustering: is the empirical evidence consistent across stock markets?," Papers 0709.2178, arXiv.org, revised Mar 2008.
- Dey, Dipak K. & Birmiwal, Lea R., 1994. "Robust Bayesian analysis using divergence measures," Statistics & Probability Letters, Elsevier, vol. 20(4), pages 287-294, July.
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Keywords
Bayesian robustness; ϵ-contamination; geometric contamination; Rényi divergence;All these keywords.
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