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A consistent nonparametric Bayesian procedure for estimating autoregressive conditional densities

  • 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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    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
    Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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    1. Jianqing Fan & Tsz Ho Yim, 2004. "A crossvalidation method for estimating conditional densities," Biometrika, Biometrika Trust, vol. 91(4), pages 819-834, December.
    2. 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.
    3. 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.
    4. Stephen Walker, 2003. "On sufficient conditions for Bayesian consistency," Biometrika, Biometrika Trust, vol. 90(2), pages 482-488, June.
    5. 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.
    6. 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.
    7. 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.
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