Inference in Infinite Superpositions of Non-Gaussian Ornstein--Uhlenbeck Processes Using Bayesian Nonparametic Methods
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- Billio, Monica & Casarin, Roberto & Rossini, Luca, 2019. "Bayesian nonparametric sparse VAR models," Journal of Econometrics, Elsevier, vol. 212(1), pages 97-115.
- Leisen, Fabrizio & Casarin, Roberto & Bassetti, Federico, 2011. "Beta-product Poisson-Dirichlet Processes," DES - Working Papers. Statistics and Econometrics. WS 12160, Universidad Carlos III de Madrid. Departamento de Estadística.
- Bassetti, Federico & Casarin, Roberto & Leisen, Fabrizio, 2014.
"Beta-product dependent Pitman–Yor processes for Bayesian inference,"
Journal of Econometrics, Elsevier, vol. 180(1), pages 49-72.
- Federico Bassetti & Roberto Casarin & Fabrizio Leisen, 2013. "Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference," Working Papers 2013:13, Department of Economics, University of Venice "Ca' Foscari".
- Behme, Anita & Chong, Carsten & Klüppelberg, Claudia, 2015. "Superposition of COGARCH processes," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1426-1469.
- Monica Billio & Roberto Casarin & Luca Rossini, 2016. "Bayesian nonparametric sparse seemingly unrelated regression model (SUR)," Working Papers 2016:20, Department of Economics, University of Venice "Ca' Foscari".
- Peluso, Stefano & Mira, Antonietta & Muliere, Pietro, 2015. "Reinforced urn processes for credit risk models," Journal of Econometrics, Elsevier, vol. 184(1), pages 1-12.
More about this item
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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