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Gibbs sampling for Bayesian non-conjugate and hierarchical models by using auxiliary variables

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  • P. Damlen
  • J. Wakefield
  • S. Walker
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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/1467-9868.00179
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    Bibliographic Info

    Article provided by Royal Statistical Society in its journal Journal of the Royal Statistical Society: Series B: Statistical Methodology.

    Volume (Year): 61 (1999)
    Issue (Month): 2 ()
    Pages: 331-344

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    Handle: RePEc:bla:jorssb:v:61:y:1999:i:2:p:331-344

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    Cited by:
    1. Hoogerheide, L.F. & Kaashoek, J.F. & van Dijk, H.K., 2004. "Neural network based approximations to posterior densities: a class of flexible sampling methods with applications to reduced rank models," Econometric Institute Research Papers EI 2004-19, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Streftaris, George & Worton, Bruce J., 2008. "Efficient and accurate approximate Bayesian inference with an application to insurance data," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2604-2622, January.
    3. Alma Cohen & Liran Einav, 2005. "Estimating Risk Preferences from Deductible Choice," NBER Working Papers 11461, National Bureau of Economic Research, Inc.
    4. Stephen Walker, 1999. "The uniform power distribution," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(4), pages 509-517.
    5. Jarrod D. Hadfield, . "MCMC Methods for Multi-Response Generalized Linear Mixed Models: The MCMCglmm R Package," Journal of Statistical Software, American Statistical Association, vol. 33(i02).
    6. Mazucheli, Josmar & Louzada-Neto, Francisco & Achcar, Jorge A., 2001. "Bayesian inference for polyhazard models in the presence of covariates," Computational Statistics & Data Analysis, Elsevier, vol. 38(1), pages 1-14, November.
    7. Stephen G. Walker, 2006. "Sampling the Dirichlet Mixture Model with Slices," ICER Working Papers - Applied Mathematics Series 16-2006, ICER - International Centre for Economic Research.
    8. Hatjispyros, Spyridon J. & Nicoleris, Theodoros & Walker, Stephen G., 2009. "A Bayesian nonparametric study of a dynamic nonlinear model," Computational Statistics & Data Analysis, Elsevier, vol. 53(12), pages 3948-3956, October.
    9. HOOGERHEIDE, Lennart F. & KAASHOEK, Johan F. & van DIJK, Herman K., . "On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks," CORE Discussion Papers RP -1922, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    10. van Nierop, J.E.M. & Paap, R. & Bronnenberg, B. & Franses, Ph.H.B.F. & Wedel, M., 2005. "Retrieving unobserved consideration sets from household panel data," Econometric Institute Research Papers EI 2005-49, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    11. Hoogerheide, L.F. & van Dijk, H.K. & van Oest, R.D., 2007. "Simulation based bayesian econometric inference: principles and some recent computational advances," Econometric Institute Research Papers EI 2007-03, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    12. Ausín, M. Concepción & Galeano, Pedro & Ghosh, Pulak, 2014. "A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation," European Journal of Operational Research, Elsevier, vol. 232(2), pages 350-358.
    13. Chib, Siddhartha, 2004. "Markov Chain Monte Carlo Technology," Papers 2004,22, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
    14. de Alba, Enrique & Nieto-Barajas, Luis E., 2008. "Claims reserving: A correlated Bayesian model," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 368-376, December.
    15. Shively, Thomas S. & Walker, Stephen G. & Damien, Paul, 2011. "Nonparametric function estimation subject to monotonicity, convexity and other shape constraints," Journal of Econometrics, Elsevier, vol. 161(2), pages 166-181, April.
    16. Daziano, Ricardo A., 2013. "Conditional-logit Bayes estimators for consumer valuation of electric vehicle driving range," Resource and Energy Economics, Elsevier, vol. 35(3), pages 429-450.
    17. Minjung Kyung & Jeff Gill & George Casella, 2011. "Sampling schemes for generalized linear Dirichlet process random effects models," Statistical Methods and Applications, Springer, vol. 20(3), pages 259-290, August.
    18. Daniels, M.J. & Pourahmadi, M., 2009. "Modeling covariance matrices via partial autocorrelations," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2352-2363, November.

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