Villani, Mattias; Kohn, Robert; Nott, David J. - In: Journal of Econometrics 171 (2012) 2, pp. 121-133
Bayesian variable selection among the covariates in the mixture components and in the mixing weights. The model …’s parameterization and variable selection prior are chosen to prevent overfitting. We use simulated and real data sets to illustrate the …