A consistent nonparametric Bayesian procedure for estimating autoregressive conditional densities
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- Hyndman, R.J. & Yao, Q., 1998.
"Nonparametric Estimation and Symmetry Tests for Conditional Density Functions,"
Monash Econometrics and Business Statistics Working Papers
17/98, Monash University, Department of Econometrics and Business Statistics.
- Qiwei Yao & Rob J. Hyndman, 2002. "Nonparametric estimation and symmetry tests for conditional density functions," LSE Research Online Documents on Economics 6092, London School of Economics and Political Science, LSE Library.
- Jianqing Fan & Tsz Ho Yim, 2004. "A crossvalidation method for estimating conditional densities," Biometrika, Biometrika Trust, vol. 91(4), pages 819-834, December.
- 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.
- 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.
- 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.
- 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.
- Stephen Walker, 2003. "On sufficient conditions for Bayesian consistency," Biometrika, Biometrika Trust, vol. 90(2), pages 482-488, June. Full references (including those not matched with items on IDEAS)
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