Regression density estimation using smooth adaptive Gaussian mixtures

DOI10.1016/j.jeconom.2009.05.004zbMath1431.62093OpenAlexW2024589952MaRDI QIDQ2630124

Mattias Villani, Robert Kohn, Paolo E. Giordani

Publication date: 25 July 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.05.004

zbMATH Keywords

splinesMarkov chain Monte Carlovalue-at-riskmixture of expertsBayesian inferencevariable selectionnonparametric estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Bayesian inference (62F15)

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Uses Software

• SemiPar
• PRMLT

Cites Work

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