Dual-semiparametric regression using weighted Dirichlet process mixture

DOI10.1016/J.CSDA.2017.08.005MaRDI QIDQ1662051zbMATH OpenOpenAlexFDO

Authors Y. Aharonov

Publication date 17 August 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2017.08.005

zbMATH Keywords

Metropolis-HastingsBayes factoradditive modelGibbs samplingordinal datacubic splinessemiparametric regressionnonparametric Bayesian modeldual-semiparametric regressionweighted Dirichlet processgeneralized Pólya urn

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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Cited in

(3)

• Probabilistic weighted Dirichlet process mixture with an application to stochastic volatility models
• Multiple hypothesis screening using mixtures of non-local distributions with applications to genomic studies
• Flexible weighted dirichlet process mixture modelling and evaluation to address the problem of forecasting return distribution

Describes a project that uses

Uses Software

• gamair
• SemiPar

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