Adaptive Bayesian estimation of conditional discrete-continuous distributions with an application to stock market trading activity

DOI10.1016/J.JECONOM.2021.11.004OpenAlexW4200154902MaRDI QIDQ2155307FDOQ2155307

Authors: Andriy Norets, Justinas Pelenis 

Publication date: 15 July 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.11.004

zbMATH Keywords

Bayesian nonparametricsmixtures of expertsposterior contractionconditional densitymixtures of normal distributionssmoothly mixing regressionsadaptive rates

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited In (1)

• An empirical bayes adaptive price search^∗

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