A Bayesian Approach for Stable Distributions:Some Computational Aspects

In this work, we study some computational aspects for the Bayesian analysis involving stable distributions. It is well known that, in general, there is no closed form for the probability density function of stable distributions. However, the use of a latent or auxiliary random variable facilitates to obtain any posterior distribution when being related to stable distributions. To show the usefulness of the computational aspects, the methodology is applied to two examples: one is related to daily price returns of Abbey National shares, considered in [1], and the other is the length distribution analysis of coding and non-coding regions in a Homo sapiens chromosome DNA sequence, considered in [2]. Posterior summaries of interest are obtained using the OpenBUGS software.

Robust Linear Regression Models:Use of a Stable Distribution for the Response Data

In this paper, we study some robustness aspects of linear regression models of the presence of outliers or discordant observations considering the use of stable distributions for the response in place of the usual normality assumption. It is well known that, in general, there is no closed form for the probability density function of stable distributions. However, under a Bayesian approach, the use of a latent or auxiliary random variable gives some simplification to obtain any posterior distribution when related to stable distributions. To show the usefulness of the computational aspects, the methodology is applied to two examples: one is related to a standard linear regression model with an explanatory variable and the other is related to a simulated data set assuming a 23 factorial experiment. Posterior summaries of interest are obtained using MCMC (Markov Chain Monte Carlo) methods and the OpenBugs software.

Comparing the Adequacy of Some Non-Homogeneous Poisson Models to Estimate Ozone Exceedances in Mexico City

We consider some non-homogeneous Poisson models to estimate the mean number of times that a given environmental threshold of interest is surpassed by a given pollutant. Seven different rate functions for the Poisson processes describing the models are taken into account. The rate functions considered are the Weibull, exponentiated-Weibull, and their generalisation the Beta-Weibull rate function. We also use the Musa-Okumoto, the Goel-Okumoto, a generalised Goel- Okumoto and the Weibull-geometric rate functions. Whenever thought justifiable, the model allowing the presence of change-points is also going to be considered. The different models are applied to the daily maximum ozone measurements data provided by the monitoring network of the Metropolitan Area of Mexico City. The aim is to compare the adjustment of different rate functions to the data. Even though, some of the rate functions have been considered before, now we are applying them to the same data set. In previous works they were used in different data sets and therefore a comparison of the adequacy of those models were not possible. The measurements considered here were obtained after a series of environmental measures were implemented in Mexico City. Hence, the data present a different behaviour from that of earlier studies.

Non-Homogeneous Poisson Processes Applied to Count Data:A Bayesian Approach Considering Different Prior Distributions

This article discusses the Bayesian approach for count data using non-homogeneous Poisson processes, considering different prior distributions for the model parameters. A Bayesian approach using Markov Chain Monte Carlo (MCMC) simulation methods for this model was first introduced by [1], taking into account software reliability data and considering non-informative prior distributions for the parameters of the model. With the non-informative prior distributions presented by these authors, computational difficulties may occur when using MCMC methods. This article considers different prior distributions for the parameters of the proposed model, and studies the effect of such prior distributions on the convergence and accuracy of the results. In order to illustrate the proposed methodology, two examples are considered: the first one has simulated data, and the second has a set of data for pollution issues at a region in Mexico City.