Flexible modeling of conditional distributions using smooth mixtures of asymmetric Student \(t\) densities

DOI10.1016/j.jspi.2010.04.031zbMath1233.62076MaRDI QIDQ993802

J. Martínez

Publication date: 20 September 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.04.031

zbMATH Keywords

Markov chain Monte Carlo; mixture of experts; Bayesian inference; variable selection; volatility modeling

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62G07: Density estimation

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

62F15: Bayesian inference

65C05: Monte Carlo methods

65C40: Numerical analysis or methods applied to Markov chains

Uses Software

• SemiPar