Regression density estimation using smooth adaptive Gaussian mixtures

Journal of Econometrics

Volumn 153, Issue 2, 2009, Pages 155-173

  Villani, Mattias ^a,b   Kohn, Robert ^c   Giordani, Paolo ^a  

^a SVERIGES RIKSBANK   (Sweden)

^b STOCKHOLM UNIVERSITY   (Sweden)

^c UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

Bayesian inference; Markov chain Monte Carlo; Mixture of experts; Nonparametric estimation; Splines; Value at Risk; Variable selection

Indexed keywords

BAYESIAN INFERENCE; MARKOV CHAIN MONTE CARLO; MIXTURE OF EXPERTS; NONPARAMETRIC ESTIMATION; VALUE-AT-RISK; VARIABLE SELECTION;

BAYESIAN NETWORKS; ESTIMATION; INFERENCE ENGINES; MARKOV PROCESSES; MIXTURES; REGRESSION ANALYSIS; RISK PERCEPTION; SPLINES; VALUE ENGINEERING;

MONTE CARLO METHODS;

EID: 70349427041     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2009.05.004     Document Type: Article

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