Approximation of Bayesian posterior densities in the heteroskedastic error regression model

DOI10.1016/0165-1765(92)90153-PzbMath0745.62023MaRDI QIDQ1192999

B. Wade Brorsen

Publication date: 27 September 1992

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

general linear modelapproximation of Bayesian posterior densitiesheteroskedastic error regression model

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Bayesian inference (62F15) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

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• Generalized autoregressive conditional heteroscedasticity
• Accurate Approximations for Posterior Moments and Marginal Densities
• Fully Exponential Laplace Approximations to Expectations and Variances of Nonpositive Functions
• Bayesian Econometrics

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