Bayesian mode inference for discrete distributions in economics and finance

Jamie L. Cross*, Lennart Hoogerheide, Paul Labonne, Herman K. van Dijk

*Corresponding author for this work

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

We propose a straightforward technique for mode inference in discrete data distributions which involves fitting a mixture of novel shifted-Poisson distributions. The credibility and utility of our approach is demonstrated through applications pertaining to loan default risk and inflation expectations.

Original languageEnglish
Article number111579
JournalEconomics Letters
Volume235
DOIs
Publication statusPublished - Feb 2024

Bibliographical note

Publisher Copyright:
© 2024 The Author(s)

Keywords

  • Bayesian inference
  • Mixture models
  • Mode inference
  • Multimodality
  • Shifted-Poisson

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