Beta-product dependent Pitman-Yor processes for Bayesian inference

DOI10.1016/j.jeconom.2014.01.007zbMath1298.62148arXiv1109.4777OpenAlexW3125274857MaRDI 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 nonparametricsDirichlet processPitman-Yor processpanel vector autoregressive processstick-breaking process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Nonparametric estimation (62G05) Bayesian inference (62F15) Economic time series analysis (91B84) Economic growth models (91B62) Numerical analysis or methods applied to Markov chains (65C40)

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