Regression density estimation using smooth adaptive Gaussian mixtures
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Cited by:
- Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2015.
"Dynamic predictive density combinations for large data sets in economics and finance,"
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- Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2016. "Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance," Tinbergen Institute Discussion Papers 15-084/III, Tinbergen Institute, revised 03 Jul 2017.
- Tsionas, Mike & Parmeter, Christopher F. & Zelenyuk, Valentin, 2023.
"Bayesian Artificial Neural Networks for frontier efficiency analysis,"
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- Valentin Zelenyuk & Valentyn Panchenko, 2023. "Bayesian Artificial Neural Networks for Frontier Efficiency Analysis," CEPA Working Papers Series WP022023, School of Economics, University of Queensland, Australia.
- Mike Tsionas & Christopher F. Parmeter & Valentin Zelenyuk, 2023. "Bayesian Artificial Neural Networks for Frontier Efficiency Analysis," CEPA Working Papers Series WP012023, School of Economics, University of Queensland, Australia.
- Mike Tsionas & Marwan Izzeldin & Lorenzo Trapani, 2019. "Bayesian estimation of large dimensional time varying VARs using copulas," Papers 1912.12527, arXiv.org.
- Salimans, Tim, 2012.
"Variable selection and functional form uncertainty in cross-country growth regressions,"
Journal of Econometrics, Elsevier, vol. 171(2), pages 267-280.
- Tim Salimans, 2011. "Variable Selection and Functional Form Uncertainty in Cross-Country Growth Regressions," Tinbergen Institute Discussion Papers 11-012/4, Tinbergen Institute.
- Tsionas, Mike G. & Izzeldin, Marwan & Trapani, Lorenzo, 2022. "Estimation of large dimensional time varying VARs using copulas," European Economic Review, Elsevier, vol. 141(C).
- Kalli, Maria & Griffin, Jim E., 2018. "Bayesian nonparametric vector autoregressive models," Journal of Econometrics, Elsevier, vol. 203(2), pages 267-282.
- Kalliovirta, Leena & Meitz, Mika & Saikkonen, Pentti, 2016. "Gaussian mixture vector autoregression," Journal of Econometrics, Elsevier, vol. 192(2), pages 485-498.
- Mike G. Tsionas, 2017. "“When, Where, and How” of Efficiency Estimation: Improved Procedures for Stochastic Frontier Modeling," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(519), pages 948-965, July.
- Talagala, Thiyanga S. & Li, Feng & Kang, Yanfei, 2022. "FFORMPP: Feature-based forecast model performance prediction," International Journal of Forecasting, Elsevier, vol. 38(3), pages 920-943.
- Kastner, Gregor, 2019.
"Sparse Bayesian time-varying covariance estimation in many dimensions,"
Journal of Econometrics, Elsevier, vol. 210(1), pages 98-115.
- Gregor Kastner, 2016. "Sparse Bayesian time-varying covariance estimation in many dimensions," Papers 1608.08468, arXiv.org, revised Nov 2017.
- Li, Feng & Kang, Yanfei, 2018. "Improving forecasting performance using covariate-dependent copula models," International Journal of Forecasting, Elsevier, vol. 34(3), pages 456-476.
- Norets, Andriy, 2015. "Bayesian regression with nonparametric heteroskedasticity," Journal of Econometrics, Elsevier, vol. 185(2), pages 409-419.
- Paolo Giordani & Xiuyan Mun & Robert Kohn, 2012. "Efficient Estimation of Covariance Matrices using Posterior Mode Multiple Shrinkage," Journal of Financial Econometrics, Oxford University Press, vol. 11(1), pages 154-192, December.
- Norets, Andriy & Pelenis, Justinas, 2012. "Bayesian modeling of joint and conditional distributions," Journal of Econometrics, Elsevier, vol. 168(2), pages 332-346.
- Cozzini, Alberto & Jasra, Ajay & Montana, Giovanni & Persing, Adam, 2014. "A Bayesian mixture of lasso regressions with t-errors," Computational Statistics & Data Analysis, Elsevier, vol. 77(C), pages 84-97.
- Cheng Peng & Stanislav Uryasev, 2023. "Factor Model of Mixtures," Papers 2301.13843, arXiv.org, revised Mar 2023.
- Keane, Michael & Ketcham, Jonathan & Kuminoff, Nicolai & Neal, Timothy, 2021.
"Evaluating consumers’ choices of Medicare Part D plans: A study in behavioral welfare economics,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 107-140.
- Michael P. Keane & Jonathan D. Ketcham & Nicolai V. Kuminoff & Timothy Neal, 2019. "Evaluating Consumers' Choices of Medicare Part D Plans: A Study in Behavioral Welfare Economics," NBER Working Papers 25652, National Bureau of Economic Research, Inc.
- Marco Berrettini & Giuliano Galimberti & Saverio Ranciati, 2023. "Semiparametric finite mixture of regression models with Bayesian P-splines," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 17(3), pages 745-775, September.
- Norets, Andriy & Pelenis, Justinas, 2022. "Adaptive Bayesian estimation of conditional discrete-continuous distributions with an application to stock market trading activity," Journal of Econometrics, Elsevier, vol. 230(1), pages 62-82.
- Villani, Mattias & Kohn, Robert & Nott, David J., 2012. "Generalized smooth finite mixtures," Journal of Econometrics, Elsevier, vol. 171(2), pages 121-133.
- Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2020.
"A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance,"
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- Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2021. "A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance," Tinbergen Institute Discussion Papers 21-016/III, Tinbergen Institute.
- Yanfei Kang & Rob J Hyndman & Feng Li, 2018. "Efficient generation of time series with diverse and controllable characteristics," Monash Econometrics and Business Statistics Working Papers 15/18, Monash University, Department of Econometrics and Business Statistics.
- Meitz, Mika & Saikkonen, Pentti, 2021.
"Testing for observation-dependent regime switching in mixture autoregressive models,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 601-624.
- Mika Meitz & Pentti Saikkonen, 2017. "Testing for observation-dependent regime switching in mixture autoregressive models," Papers 1711.03959, arXiv.org.
- Quiroz, Matias & Villani, Mattias, 2013. "Dynamic mixture-of-experts models for longitudinal and discrete-time survival data," Working Paper Series 268, Sveriges Riksbank (Central Bank of Sweden).
- Mike Tsionas & Christopher F. Parmeter & Valentin Zelenyuk, 2021. "Bridging the Divide? Bayesian Artificial Neural Networks for Frontier Efficiency Analysis," CEPA Working Papers Series WP082021, School of Economics, University of Queensland, Australia.
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Keywords
Bayesian inference Markov chain Monte Carlo Mixture of experts Nonparametric estimation Splines Value-at-Risk Variable selection;Statistics
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