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Asymptotic expansions of posterior expectations, distributions and densities for stochastic processes


  • Martin Crowder


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  • Martin Crowder, 1988. "Asymptotic expansions of posterior expectations, distributions and densities for stochastic processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 40(2), pages 297-309, June.
  • Handle: RePEc:spr:aistmt:v:40:y:1988:i:2:p:297-309 DOI: 10.1007/BF00052346

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    References listed on IDEAS

    1. Hall, Peter, 1990. "Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems," Journal of Multivariate Analysis, Elsevier, vol. 32(2), pages 177-203, February.
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    Cited by:

    1. Frank Schorfheide, 2000. "Loss function-based evaluation of DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 645-670.
    2. Dasgupta, Shibasish & Khare, Kshitij & Ghosh, Malay, 2014. "Asymptotic expansion of the posterior density in high dimensional generalized linear models," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 126-148.
    3. Ana Beatriz Galv√£o & Liudas Giraitis & George Kapetanios & Katerina Petrova, 2015. "A Bayesian Local Likelihood Method for Modelling Parameter Time Variation in DSGE Models," Working Papers 770, Queen Mary University of London, School of Economics and Finance.
    4. Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 113-172.


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