Flexible modeling of conditional distributions using smooth mixtures of asymmetric student t densities

Journal of Statistical Planning and Inference

Volumn 140, Issue 12, 2010, Pages 3638-3654

  Li, Feng ^a   Villani, Mattias ^a,b   Kohn, Robert ^c  

^a STOCKHOLM UNIVERSITY   (Sweden)

^b SVERIGES RIKSBANK   (Sweden)

^c UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

Bayesian inference; Markov chain Monte Carlo; Mixture of experts; Variable selection; Volatility modeling

Indexed keywords

EID: 77955580236     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jspi.2010.04.031     Document Type: Article

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