A Bayesian nonparametric approach to modeling market share dynamics
From MaRDI portal
Publication:1940749
DOI10.3150/11-BEJ392zbMath1288.62042arXiv1302.0115MaRDI QIDQ1940749
Igor Prünster, Matteo Ruggiero
Publication date: 7 March 2013
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1302.0115
Bayesian nonparametrics; Gibbs sampler; particle system; market dynamics; species sampling models; interacting Fleming-Viot processes; interacting Pòlya urns
62P20: Applications of statistics to economics
91G70: Statistical methods; risk measures
62G05: Nonparametric estimation
62F15: Bayesian inference
60K35: Interacting random processes; statistical mechanics type models; percolation theory
60G57: Random measures
Related Items
Innovation, growth and aggregate volatility from a Bayesian nonparametric perspective, The dependent Dirichlet process and related models, Bayesian functional forecasting with locally-autoregressive dependent processes
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A Bayesian mixed logit-probit model for multinomial choice
- Bayesian nonparametric estimation and consistency of mixed multinomial logit choice models
- Stick-breaking autoregressive processes
- On a class of Bayesian nonparametric estimates: I. Density estimates
- Interacting Fleming-Viot processes
- Semiparametric Bayesian inference for stochastic frontier models
- On option pricing under a completely random measure via a generalized Esscher transform
- Large portfolio losses: A dynamic contagion model
- Hierarchically interacting Fleming-Viot processes with selection and mutation: Multiple space time scale analysis and quasi-equilibria
- Ferguson distributions via Polya urn schemes
- A bivariate Dirichlet process.
- De Finetti's contribution to probability and statistics
- Limit theorems for individual-based models in economics and finance
- The Ornstein-Uhlenbeck Dirichlet process and other time-varying processes for Bayesian nonparametric inference
- A Bayesian analysis of some nonparametric problems
- Hybrid Dirichlet Mixture Models for Functional Data
- Modelling long-term investment returns via Bayesian infinite mixture time series models
- The multivariate beta process and an extension of the Polya tree model
- Sampling-Based Approaches to Calculating Marginal Densities
- Bayesian Nonparametrics
- Generalized Spatial Dirichlet Process Models
- Kernel stick-breaking processes
- Selection and the Evolution of Industry
- Entry, Exit, and firm Dynamics in Long Run Equilibrium
- Fleming–Viot Processes in Population Genetics
- Gibbs Sampling Methods for Stick-Breaking Priors
- Markov-Perfect Industry Dynamics: A Framework for Empirical Work
- Equilibria and Quasi-Equilibria for Infinite Collections of Interacting Fleming-Viot Processes
- An ANOVA Model for Dependent Random Measures
- Stationary Autoregressive Models via a Bayesian Nonparametric Approach
- Efficient MCMC Schemes for Robust Model Extensions Using Encompassing Dirichlet Process Mixture Models
- Order-Based Dependent Dirichlet Processes