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

Li, Feng; Villani, Mattias; Kohn, Robert - 2009

A general model is proposed for flexibly estimating the density of a continuous response variable conditional on a possibly high-dimensional set of covariates. The model is a finite mixture of asymmetric student-t densities with covariate dependent mixture weights. The four parameters of the...

Persistent link: https://www.econbiz.de/10010320729

Modeling conditional densities using finite smooth mixtures

Li, Feng; Villani, Mattias; Kohn, Robert - 2010

Smooth mixtures, i.e. mixture models with covariate-dependent mixing weights, are very useful flexible models for conditional densities. Previous work shows that using too simple mixture components for modeling heteroscedastic and/or heavy tailed data can give a poor fit, even with a large...

Persistent link: https://www.econbiz.de/10010320786

Bayesian inference for duration data with unobserved and unknown heterogeneity : Monte Carlo evidence and an application

Paserman, Marco Daniele - 2004

This paper describes a semiparametric Bayesian method for analyzing duration data. The proposed estimator specifies a complete functional form for duration spells, but allows flexibility by introducing an individual heterogeneity term, which follows a Dirichlet mixture distribution. I show how...

Persistent link: https://www.econbiz.de/10010276176

Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo

Zellner, Arnold (posthumously); Ando, Tomohiro; … - 2012

We discuss Bayesian inferential procedures within the family of instrumental variables regression models and focus on two issues: existence conditions for posterior moments of the parameters of interest under a flat prior and the potential of Direct Monte Carlo (DMC) approaches for efficient...

Persistent link: https://www.econbiz.de/10010326354

Bayesian analysis of instrumental variable models: The potential of direct Monte Carlo

Zellner, Arnold; Ando, Tomohiro; Basturk, Nalan; … - 2012

Persistent link: https://www.econbiz.de/10010326499

The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation

Basturk, Nalan; Hoogerheide, Lennart; Opschoor, Anne; … - 2012

This paper presents the R package MitISEM, which provides an automatic and flexible method to approximate a non-elliptical target density using adaptive mixtures of Student-t densities, where only a kernel of the target density is required. The approximation can be used as a candidate density in...

Persistent link: https://www.econbiz.de/10010326521

On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers

Dufays, Arnaud - 2014

Sequential Monte Carlo (SMC) methods are widely used for filtering purposes of non-linear economic or financial models. Nevertheless the SMC scope encompasses wider applications such as estimating static model parameters so much that it is becoming a serious alternative to Markov- Chain...

Persistent link: https://www.econbiz.de/10011506783

Rationalität, Erkenntnis und Entscheidung Bayesianismus und kritischer Rationalismus im Vergleich

Albert, Max - 2023

Persistent link: https://www.econbiz.de/10014476354

Project selection, income smoothing, and Bayesian learning

Gaber, Christian - 2003

Capital rationing is an empirically well-documented phenomenon. This constraint requires managers to make investment decisions between mutually exclusive investment opportunities. In a multiperiod agency setting, this paper analyses accounting rules that provide managerial incentives for...

Persistent link: https://www.econbiz.de/10010316305

Communication and punishment in voluntary contribution experiments

Bochet, Olivier; Page, Talbot; Putterman, Louis - 2005

: communication, and punishment (allowing subjects to engage in costly reductions of one another’s earnings after learning of their … contribution decisions). We find that communication increases contributions more than punishment, and, taking into account the cost … of punishment, only communication significantly increases subjects’ earnings and thus efficiency. We study three forms of …

Persistent link: https://www.econbiz.de/10010318922