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Generalized smooth finite mixtures

  • Villani, Mattias
  • Kohn, Robert
  • Nott, David J.

We propose a general class of models and a unified Bayesian inference methodology for flexibly estimating the density of a response variable conditional on a possibly high-dimensional set of covariates. Our model is a finite mixture of component models with covariate-dependent mixing weights. The component densities can belong to any parametric family, with each model parameter being a deterministic function of covariates through a link function. Our MCMC methodology allows for Bayesian variable selection among the covariates in the mixture components and in the mixing weights. The model’s parameterization and variable selection prior are chosen to prevent overfitting. We use simulated and real data sets to illustrate the methodology.

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 171 (2012)
Issue (Month): 2 ()
Pages: 121-133

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Handle: RePEc:eee:econom:v:171:y:2012:i:2:p:121-133
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. John Geweke, 1998. "Using simulation methods for Bayesian econometric models: inference, development, and communication," Staff Report 249, Federal Reserve Bank of Minneapolis.
  2. Andreas Million & Regina T. Riphahn & Achim Wambach, 2003. "Incentive effects in the demand for health care: a bivariate panel count data estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 387-405.
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  12. Esmeralda A. Ramalho & Joaquim J.S. Ramalho & José M.R. Murteira, 2009. "Alternative estimating and testing empirical strategies for fractional regression models," CEFAGE-UE Working Papers 2009_08, University of Evora, CEFAGE-UE (Portugal).
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  15. Chung, Yeonseung & Dunson, David B., 2009. "Nonparametric Bayes Conditional Distribution Modeling With Variable Selection," Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1646-1660.
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  17. Geweke, John & Keane, Michael, 2007. "Smoothly mixing regressions," Journal of Econometrics, Elsevier, vol. 138(1), pages 252-290, May.
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