A sampling algorithm for bandwidth estimation in a nonparametric regression model with a flexible error density

DOI10.1016/j.csda.2014.04.016zbMath1506.62208OpenAlexW2051403264WikidataQ58288578 ScholiaQ58288578MaRDI QIDQ1623642

Maxwell L. King, Han Lin Shang, Xibin Zhang

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://business.monash.edu/econometrics-and-business-statistics/research/publications/ebs/wp20-13.pdf

zbMATH Keywords

Bayes factorsvalue-at-riskMetropolis-Hastings algorithmkernel-form error densitystate-price densityposterior predictive density

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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