POSTERIOR ANALYSIS OF THE MULTIPLICATIVE HETEROSCEDASTICITY MODEL

DOI10.1081/STA-100002262MaRDI QIDQ4540629zbMATH OpenFDO

Authors Hisashi Tanizaki, Xingyuan Zhang

Publication date 28 July 2002

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/STA-100002262

zbMATH Keywords

Multiplicative heteroscedasticity, Bayesian approach, The Metropolis-Hastings algorithm, Sampling density

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05)

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Cites work

• Contemporary Bayesian Econometrics and Statistics
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• Markov chains for exploring posterior distributions. (With discussion)
• Small sample properties of the two-step and three-step estimators in a heteroscedastic linear regression model and the Bayesian alternative

Cited in

(2)

• A note on a posterior approximation in a heteroscedastic model
• A novel Bayesian framework to address unknown heteroscedasticity for the linear regression model

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