Bayesian modelling and inference on mixtures of distributions
Publisher Summary Mixture distributions comprise a finite or infinite number of components,
possibly of different distributional types, that can describe different features of data. The …
possibly of different distributional types, that can describe different features of data. The …
Bayesian forecasting
J Geweke, C Whiteman - Handbook of economic forecasting, 2006 - Elsevier
Bayesian forecasting is a natural product of a Bayesian approach to inference. The
Bayesian approach in general requires explicit formulation of a model, and conditioning on …
Bayesian approach in general requires explicit formulation of a model, and conditioning on …
[图书][B] Time series analysis and its applications
RH Shumway, DS Stoffer, DS Stoffer - 2000 - Springer
The fourth edition follows the general layout of the third edition but includes some
modernization of topics as well as the coverage of additional topics. The preface to the third …
modernization of topics as well as the coverage of additional topics. The preface to the third …
[图书][B] Finite mixture and Markov switching models
S Frühwirth-Schnatter - 2006 - Springer
Modelling based on finite mixture distributions is a rapidly developing area with the range of
applications exploding. Finite mixture models are nowadays applied in such diverse areas …
applications exploding. Finite mixture models are nowadays applied in such diverse areas …
Macroeconomic forecasting performance under alternative specifications of time‐varying volatility
TE Clark, F Ravazzolo - Journal of Applied Econometrics, 2015 - Wiley Online Library
This paper compares alternative models of time‐varying volatility on the basis of the
accuracy of real‐time point and density forecasts of key macroeconomic time series for the …
accuracy of real‐time point and density forecasts of key macroeconomic time series for the …
[HTML][HTML] Time-varying effect of oil market shocks on the stock market
A mixture innovation time-varying parameter VAR model is used to examine the impact of
structural oil price shocks on US stock market return. Time variation is evident in both the …
structural oil price shocks on US stock market return. Time variation is evident in both the …
On the evolution of the monetary policy transmission mechanism
This paper investigates whether the monetary transmission mechanism has changed or
whether apparent changes are due to changes in the volatility of exogenous shocks. Also …
whether apparent changes are due to changes in the volatility of exogenous shocks. Also …
Methods for inference in large multiple-equation Markov-switching models
Inference for multiple-equation Markov-chain models raises a number of difficulties that are
unlikely to appear in smaller models. Our framework allows for many regimes in the …
unlikely to appear in smaller models. Our framework allows for many regimes in the …
Automatic processing of high‐rate, high‐density multibeam echosounder data
BR Calder, LA Mayer - Geochemistry, Geophysics, Geosystems, 2003 - Wiley Online Library
Multibeam echosounders (MBES) are currently the best way to determine the bathymetry of
large regions of the seabed with high accuracy. They are becoming the standard instrument …
large regions of the seabed with high accuracy. They are becoming the standard instrument …
[图书][B] Applied Bayesian hierarchical methods
PD Congdon - 2010 - taylorfrancis.com
The use of Markov chain Monte Carlo (MCMC) methods for estimating hierarchical models
involves complex data structures and is often described as a revolutionary development. An …
involves complex data structures and is often described as a revolutionary development. An …