Variance-covariance from a metropolis chain on a curved, singular manifold

DOI10.1016/j.jeconom.2022.08.002OpenAlexW4294724495MaRDI QIDQ6108279

A. Ronald Gallant

Publication date: 29 June 2023

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2022.08.002

zbMATH Keywords

singular manifoldBayesian inferencemethod of momentspoint cloudcurvedsimultaneously valid credibility intervals

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• Intrinsic statistics on Riemannian manifolds: Basic tools for geometric measurements
• Nonparametric Bayes subject to overidentified moment conditions
• Geodesic Monte Carlo on Embedded Manifolds
• Moment Conditions and Bayesian Non-Parametrics
• Monte Carlo on Manifolds: Sampling Densities and Integrating Functions
• Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
• A fast marching level set method for monotonically advancing fronts.
• Fast computation of weighted distance functions and geodesics on implicit hyper-surfaces

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