Bayesian regression with nonparametric heteroskedasticity
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Publication:2343818
DOI10.1016/j.jeconom.2014.12.006zbMath1331.62238MaRDI QIDQ2343818
Publication date: 6 May 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.12.006
multivariate Bernstein polynomials; misspecification; semiparametric efficiency; heteroskedasticity; posterior consistency; Bayesian linear regression; Gaussian process priors; semiparametric Bernstein-von Mises theorem
62G08: Nonparametric regression and quantile regression
62G07: Density estimation
62G20: Asymptotic properties of nonparametric inference
62F15: Bayesian inference
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