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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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  • P. Damlen & J. Wakefield & S. Walker, 1999. "Gibbs sampling for Bayesian non-conjugate and hierarchical models by using auxiliary variables," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(2), pages 331-344.
  • Handle: RePEc:bla:jorssb:v:61:y:1999:i:2:p:331-344
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    References listed on IDEAS

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    1. Koenker, Roger & Xiao, Zhijie, 2006. "Quantile Autoregression," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 980-990, September.
    2. Ta-Hsin Li, 2014. "Quantile Periodogram And Time-Dependent Variance," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(4), pages 322-340, July.
    3. Fryzlewicz, Piotr & Sapatinas, Theofanis & Subba Rao, Suhasini, 2008. "Normalized least-squares estimation in time-varying ARCH models," LSE Research Online Documents on Economics 25187, London School of Economics and Political Science, LSE Library.
    4. R. Dahlhaus & M. Neumann & R. von Sachs, 1997. "Nonlinear Wavelet Estimation of Time-Varying Autoregressive Processes," SFB 373 Discussion Papers 1997,34, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    5. Zhao, Zhibiao & Wu, Wei Biao, 2009. "Nonparametric inference of discretely sampled stable Lévy processes," Journal of Econometrics, Elsevier, pages 83-92.
    6. Fryzlewicz, Piotr & Sapatinas, Theofanis & Subba Rao, Suhasini, 2006. "A Haar-Fisz technique for locally stationary volatility estimation," LSE Research Online Documents on Economics 25225, London School of Economics and Political Science, LSE Library.
    7. Roger Koenker & Kevin F. Hallock, 2001. "Quantile Regression," Journal of Economic Perspectives, American Economic Association, pages 143-156.
    8. Holger Dette & Marc Hallin & Tobias Kley & Stanislav Volgushev, 2011. "Of Copulas, Quantiles, Ranks and Spectra - An L1-Approach to Spectral Analysis," Working Papers ECARES ECARES 2011-038, ULB -- Universite Libre de Bruxelles.
    9. G. P. Nason & R. von Sachs & G. Kroisandt, 2000. "Wavelet processes and adaptive estimation of the evolutionary wavelet spectrum," Journal of the Royal Statistical Society Series B, Royal Statistical Society, pages 271-292.
    10. Longla, Martial & Peligrad, Magda, 2012. "Some aspects of modeling dependence in copula-based Markov chains," Journal of Multivariate Analysis, Elsevier, pages 234-240.
    11. Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521845731, November.
    12. Linton, O. & Whang, Yoon-Jae, 2007. "The quantilogram: With an application to evaluating directional predictability," Journal of Econometrics, Elsevier, pages 250-282.
    13. Yongmiao Hong, 2000. "Generalized spectral tests for serial dependence," Journal of the Royal Statistical Society Series B, Royal Statistical Society, pages 557-574.
    14. Li, Ta-Hsin, 2008. "Laplace Periodogram for Time Series Analysis," Journal of the American Statistical Association, American Statistical Association, vol. 103, pages 757-768, June.
    15. Francq, Christian & Zako an, Jean-Michel, 2005. "A Central Limit Theorem For Mixing Triangular Arrays Of Variables Whose Dependence Is Allowed To Grow With The Sample Size," Econometric Theory, Cambridge University Press, pages 1165-1171.
    16. Dahlhaus, R., 1996. "On the Kullback-Leibler information divergence of locally stationary processes," Stochastic Processes and their Applications, Elsevier, pages 139-168.
    17. Ta-Hsin Li, 2012. "Quantile Periodograms," Journal of the American Statistical Association, Taylor & Francis Journals, pages 765-776.
    18. Tobias Kley & Stanislav Volgushev & Holger Dette & Marc Hallin, 2014. "Quantile Spectral Processes: Asymptotic Analysis and Inference," Working Papers ECARES ECARES 2014-07, ULB -- Universite Libre de Bruxelles.
    19. Michael Vogt & Oliver Linton, 2014. "Nonparametric estimation of a periodic sequence in the presence of a smooth trend," Biometrika, Biometrika Trust, pages 121-140.
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