Bayesian identification, selection and estimation of semiparametric functions in high-dimensional additive models

DOI10.1016/j.jeconom.2007.10.003zbMath1418.62166MaRDI QIDQ291119

F. Blanchet-Sadri, M. Dambrine

Publication date: 6 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.10.003

zbMATH Keywords

regularization; P-splines; Bayesian variable selection; Bayesian semiparametric regression; intra-day electricity load modelling; intrinsic Gaussian Markov random fields; seemingly unrelated regression

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M30: Inference from spatial processes

62G08: Nonparametric regression and quantile regression

62G07: Density estimation

62F15: Bayesian inference

65C40: Numerical analysis or methods applied to Markov chains