Dynamic mixed models with heterogeneous covariance components using multivariate GARCH innovations and the Dirichlet process mixture (Q6079952): Difference between revisions

Latest revision as of 18:12, 30 December 2024

scientific article; zbMATH DE number 7756783

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English	Dynamic mixed models with heterogeneous covariance components using multivariate GARCH innovations and the Dirichlet process mixture	scientific article; zbMATH DE number 7756783

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scholarly article

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title

Dynamic mixed models with heterogeneous covariance components using multivariate GARCH innovations and the Dirichlet process mixture (English)

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Journal of Computational and Applied Mathematics

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publication date

30 October 2023

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zbMATH Keywords

centered Dirichlet process

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cross-sectional dependence

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Hamiltonian Monte Carlo

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heterogeneous covariance matrix

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high-frequency volatility

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MODWT

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.cam.2023.115579

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cites work

Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models

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Forecasting With Dynamic Panel Data Models

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Testing change in volatility using panel data

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Semiparametric Bayes hierarchical models with mean and variance constraints

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Bayesian Inference for Linear Dynamic Models With Dirichlet Process Mixtures

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Bayesian dynamic density estimation

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An improved acceptance procedure for the hybrid Monte Carlo algorithm

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A Linear Mixed-Effects Model With Heterogeneity in the Random-Effects Population

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Linear Mixed Models with Flexible Distributions of Random Effects for Longitudinal Data

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Semi-parametric Bayesian estimation of mixed-effects models using the multivariate skew-normal distribution

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The effect of misspecification of random effects distributions in clustered data settings with outcome-dependent sampling

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Gibbs Sampling Methods for Stick-Breaking Priors

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Semiparametric Bayesian Inference in Autoregressive Panel Data Models

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Semiparametric Bayesian Modeling of Income Volatility Heterogeneity

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Q4839399

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Initial conditions of dynamic panel data models: on within and between equations

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A Semiparametric Bayesian Approach to the Random Effects Model

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Prior distributions for variance parameters in hierarchical models (Comment on article by Browne and Draper)

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Maximum a posteriori estimators as a limit of Bayes estimators

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Monte Carlo results on several new and existing tests for the error component model

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Nonparametric hierarchical Bayes via sequential imputations

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Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series

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A survey of Bayesian predictive methods for model assessment, selection and comparison

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Under-reported time-varying MINAR(1) process for modeling multivariate count series

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The Pitman–Yor multinomial process for mixture modelling

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Identifiers

zbMATH Open document ID

1522.62080

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Mathematics Subject Classification ID

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10.1016/J.CAM.2023.115579

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Sitelinks

Mathematics(1 entry)

mardi Publication:6079952

@@ Property / DOI @@
-.1016/j.cam.2023.115579
@@ Property / DOI: 10.1016/j.cam.2023.115579 / rank @@
-Normal rank
@@ Property / cites work @@
+Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models
+Normal rank
@@ Property / cites work @@
+Forecasting With Dynamic Panel Data Models
@@ Property / cites work: Forecasting With Dynamic Panel Data Models / rank @@
+Normal rank
@@ Property / cites work @@
+Testing change in volatility using panel data
@@ Property / cites work: Testing change in volatility using panel data / rank @@
+Normal rank
@@ Property / cites work @@
+Semiparametric Bayes hierarchical models with mean and variance constraints
+Normal rank
@@ Property / cites work @@
+Bayesian Inference for Linear Dynamic Models With Dirichlet Process Mixtures
+Normal rank
@@ Property / cites work @@
+Bayesian dynamic density estimation
@@ Property / cites work: Bayesian dynamic density estimation / rank @@
+Normal rank
@@ Property / cites work @@
+An improved acceptance procedure for the hybrid Monte Carlo algorithm
+Normal rank
@@ Property / cites work @@
+A Linear Mixed-Effects Model With Heterogeneity in the Random-Effects Population
+Normal rank
@@ Property / cites work @@
+Linear Mixed Models with Flexible Distributions of Random Effects for Longitudinal Data
+Normal rank
@@ Property / cites work @@
+Semi-parametric Bayesian estimation of mixed-effects models using the multivariate skew-normal distribution
+Normal rank
@@ Property / cites work @@
+The effect of misspecification of random effects distributions in clustered data settings with outcome-dependent sampling
+Normal rank
@@ Property / cites work @@
+Gibbs Sampling Methods for Stick-Breaking Priors
@@ Property / cites work: Gibbs Sampling Methods for Stick-Breaking Priors / rank @@
+Normal rank
@@ Property / cites work @@
+Semiparametric Bayesian Inference in Autoregressive Panel Data Models
+Normal rank
@@ Property / cites work @@
+Semiparametric Bayesian Modeling of Income Volatility Heterogeneity
+Normal rank
@@ Property / cites work @@
+Q4839399
@@ Property / cites work: Q4839399 / rank @@
+Normal rank
@@ Property / cites work @@
+Initial conditions of dynamic panel data models: on within and between equations
+Normal rank
@@ Property / cites work @@
+A Semiparametric Bayesian Approach to the Random Effects Model
+Normal rank
@@ Property / cites work @@
+Prior distributions for variance parameters in hierarchical models (Comment on article by Browne and Draper)
+Normal rank
@@ Property / cites work @@
+Maximum a posteriori estimators as a limit of Bayes estimators
+Normal rank
@@ Property / cites work @@
+Monte Carlo results on several new and existing tests for the error component model
+Normal rank
@@ Property / cites work @@
+Nonparametric hierarchical Bayes via sequential imputations
+Normal rank
@@ Property / cites work @@
+Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series
+Normal rank
@@ Property / cites work @@
+A survey of Bayesian predictive methods for model assessment, selection and comparison
+Normal rank
@@ Property / cites work @@
+Under-reported time-varying MINAR(1) process for modeling multivariate count series
+Normal rank
@@ Property / cites work @@
+The Pitman–Yor multinomial process for mixture modelling
+Normal rank
@@ Property / DOI @@
+.1016/J.CAM.2023.115579
@@ Property / DOI: 10.1016/J.CAM.2023.115579 / rank @@
+Normal rank