Bayesian adaptive bandwidth kernel density estimation of irregular multivariate distributions

Computational Statistics and Data Analysis

Volumn 56, Issue 3, 2012, Pages 732-740

  Hu, Shuowen ^a   Poskitt, D S ^a   Zhang, Xibin ^a  

^a MONASH UNIVERSITY   (Australia)

Author keywords

Marginal likelihood; Markov chain Monte Carlo; S P 500 index; Value at risk

Indexed keywords

ADAPTIVE BANDWIDTH; BANDWIDTH PARAMETERS; BANDWIDTH SELECTIONS; BIVARIATE; DENSITY ESTIMATOR; HIGH-DENSITY REGIONS; KERNEL DENSITY ESTIMATION; KULLBACK LEIBLER DIVERGENCE; MARGINAL LIKELIHOOD; MARKOV CHAIN MONTE CARLO; MONTE CARLO SIMULATION; MULTIVARIATE DISTRIBUTIONS; SAMPLING ALGORITHM; STOCK MARKET; UNDERLYING MECHANISM; VALUE AT RISK;

COMPUTER SIMULATION; ESTIMATION; MARKOV PROCESSES; MONTE CARLO METHODS; RISK PERCEPTION;

BANDWIDTH;

EID: 80455160065     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2011.09.022     Document Type: Article

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