An application of Bayesian seemingly unrelated regression models with flexible tails

DOI10.1007/978-3-319-54084-9_11MaRDI QIDQ5267861zbMATH OpenOpenAlexFDO

Authors Charles Au, S. T. Boris Choy

Publication date 13 June 2017

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-54084-9_11

zbMATH Keywords

capital asset pricing model (CAPM)Markov chain Monte Carlo (MCMC)modified multivariate \(t\)-distributionscale mixtures of normal (SMN)

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• On Bayesian analysis of seemingly unrelated regression model with skew distribution error
• Bayesian semiparametric seemingly unrelated regression
• Robust Bayesian inference for seemingly unrelated regressions with elliptical errors
• On the difference in inference and prediction between the joint and independent f-error models for seemingly unrelated regressions
• Using mixtures in seemingly unrelated linear regression models with non-normal errors

Cites work

• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms
• Bayesian Measures of Model Complexity and Fit
• Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations
• Deviance information criteria for missing data models
• Efficient Bayesian inference for Gaussian copula regression models
• scientific article; zbMATH DE number 3442988 (Why is no real title available?)

Cited in

(6)

• Robust Bayesian seemingly unrelated regression model
• Using mixtures in seemingly unrelated linear regression models with non-normal errors
• scientific article; zbMATH DE number 5160947 (Why is no real title available?)
• On the difference in inference and prediction between the joint and independent f-error models for seemingly unrelated regressions
• Flexible objective Bayesian linear regression with applications in survival analysis
• On Bayesian analysis of seemingly unrelated regression model with skew distribution error

This page was built for publication: An application of Bayesian seemingly unrelated regression models with flexible tails

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5267861)