Beta-product dependent Pitman-Yor processes for Bayesian inference

DOI10.1016/j.jeconom.2014.01.007zbMath1298.62148arXiv1109.4777MaRDI QIDQ469570

Fabrizio Leisen, Roberto Casarin, Federico Bassetti

Publication date: 11 November 2014

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

Full work available at URL: https://arxiv.org/abs/1109.4777

zbMATH Keywords

Bayesian nonparametrics; Dirichlet process; Pitman-Yor process; panel vector autoregressive process; stick-breaking process

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62H30: Classification and discrimination; cluster analysis (statistical aspects)

62G05: Nonparametric estimation

62F15: Bayesian inference

91B84: Economic time series analysis

91B62: Economic growth models

65C40: Numerical analysis or methods applied to Markov chains

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