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

DOI10.1016/J.JECONOM.2021.11.004MaRDI QIDQ2155307zbMATH OpenOpenAlexFDO

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

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• An empirical bayes adaptive price search^∗

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