A Proof of the Asymptotic Equivalence of Two-Tail Probability Approximations |
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| Authors: | John E. Kolassa |
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| Affiliation: | 1. Department of Statistics , Rutgers University , Piscataway, New Jersey, USA kolassa@stat.rutgers.edu |
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| Abstract: | ![]()
A modified efficient jump algorithm is proposed for the Markov Chain Monte Carlo draws of the exponential power distribution. Bayesian inference based on the exponential power error term and that on the normal error term are compared. Unbiasedness of the LAD estimator is proven. |
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| Keywords: | Asymptotics Saddlepoint |
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