Arbeitspapier
Bayes estimates in multivariate semiparametric linear models
Bayes estimates are derived in multivariate linear models with unknown distribution. The prior distribution is defined using a Dirichlet prior for the unknown error distribution and a ormal-Wishart distribution for the parameters. The posterior distribution for the parameters is determined and is a mixture of normal-Wishart distributions. The posterior mean of the observation distributions is a mixture of generalized Student distributions and of kernel estimates and empirical distributions based on pseudoobservations. Explicit expressions are given in the special cases of location - scale and two-sample models. The calculation of selfinformative limits of Bayes estimates yields standard estimates.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 2002,58
- Klassifikation
-
Wirtschaft
- Thema
-
Dirichlet prior
Multivariate linear model
location-scale model
twosample model
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bunke, Olaf
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
2002
- Handle
- URN
-
urn:nbn:de:kobv:11-10049163
- Letzte Aktualisierung
-
20.09.2024, 08:24 MESZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bunke, Olaf
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 2002
Ähnliche Objekte (12)
Bayes Estimates in Multivariate SemiparametricLinear Models
Semiparametric multivariate volatility models
Bayesian semiparametric multivariate GARCH modeling
Multivariate and Semiparametric Kernel Regression
Multivariate and semiparametric kernel regression
Optimal designs for multivariate linear models
Semiparametric Bayesian regression for multivariate responses
Testing Parametric versus Semiparametric Modelling in Generalized Linear Models
Semiparametric models
Multivariate statistical modelling based on generalized linear models
Multivariate statistical modelling based on generalized linear models
Semi-Parametric Estimation of generalized Partially Linear Single-Index Models
Bayes Estimates in Multivariate SemiparametricLinear Models
Semiparametric multivariate volatility models
Bayesian semiparametric multivariate GARCH modeling
Multivariate and Semiparametric Kernel Regression
Multivariate and semiparametric kernel regression
Optimal designs for multivariate linear models
Semiparametric Bayesian regression for multivariate responses
Testing Parametric versus Semiparametric Modelling in Generalized Linear Models
Semiparametric models
Multivariate statistical modelling based on generalized linear models
Multivariate statistical modelling based on generalized linear models
Semi-Parametric Estimation of generalized Partially Linear Single-Index Models
Bayes Estimates in Multivariate SemiparametricLinear Models
Semiparametric multivariate volatility models
Bayesian semiparametric multivariate GARCH modeling
Multivariate and Semiparametric Kernel Regression
Multivariate and semiparametric kernel regression
Optimal designs for multivariate linear models
Semiparametric Bayesian regression for multivariate responses
Testing Parametric versus Semiparametric Modelling in Generalized Linear Models
Semiparametric models
Multivariate statistical modelling based on generalized linear models
Multivariate statistical modelling based on generalized linear models