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A consistent nonparametric Bayesian procedure for estimating autoregressive conditional densities

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  • Tang, Yongqiang
  • Ghosal, Subhashis
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    File URL: http://www.sciencedirect.com/science/article/B6V8V-4KGG52P-1/2/fc1e61e16df3a6b894079933193f8787
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    Bibliographic Info

    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 51 (2007)
    Issue (Month): 9 (May)
    Pages: 4424-4437

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    Handle: RePEc:eee:csdana:v:51:y:2007:i:9:p:4424-4437

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    1. J. Vermaak & C. Andrieu & A. Doucet & S. J. Godsill, 2004. "Reversible Jump Markov Chain Monte Carlo Strategies for Bayesian Model Selection in Autoregressive Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(6), pages 785-809, November.
    2. Stephen Walker, 2003. "On sufficient conditions for Bayesian consistency," Biometrika, Biometrika Trust, Biometrika Trust, vol. 90(2), pages 482-488, June.
    3. Hyndman, R.J. & Yao, Q., 1998. "Nonparametric Estimation and Symmetry Tests for Conditional Density Functions," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 17/98, Monash University, Department of Econometrics and Business Statistics.
    4. Jianqing Fan & Tsz Ho Yim, 2004. "A crossvalidation method for estimating conditional densities," Biometrika, Biometrika Trust, Biometrika Trust, vol. 91(4), pages 819-834, December.
    5. C. S. Wong & W. K. Li, 2000. "On a mixture autoregressive model," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(1), pages 95-115.
    6. G. Huerta & M. West, 1999. "Priors and component structures in autoregressive time series models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(4), pages 881-899.
    7. Jianqing Fan & Qiwei Yao & Howell Tong, 1996. "Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems," LSE Research Online Documents on Economics 6704, London School of Economics and Political Science, LSE Library.
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    Cited by:
    1. Pati, Debdeep & Dunson, David B. & Tokdar, Surya T., 2013. "Posterior consistency in conditional distribution estimation," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 456-472.
    2. Hatjispyros, Spyridon J. & Nicoleris, Theodoros & Walker, Stephen G., 2009. "A Bayesian nonparametric study of a dynamic nonlinear model," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 53(12), pages 3948-3956, October.

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