Additive cubic spline regression with Dirichlet process mixture errors
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- Jensen, Mark J & Maheu, John M, 2013.
"Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis,"
52132, University Library of Munich, Germany.
- Mark J. Jensen & John M. Maheu, 2014. "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," Working Paper series 31_14, Rimini Centre for Economic Analysis.
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- Jin, Xin & Maheu, John M., 2016.
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- Debdeep Pati & David Dunson, 2014. "Bayesian nonparametric regression with varying residual density," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(1), pages 1-31, February.
More about this item
KeywordsAdditive regression Bayes factors Cubic spline Non-parametric regression Dirichlet process Dirichlet process mixture Marginal likelihood Markov chain Monte Carlo Metropolis-Hastings Model comparison Ordinal data;
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