Bayesian modeling of joint and conditional distributions

DOI10.1016/j.jeconom.2012.02.001zbMath1443.62065OpenAlexW2124983283MaRDI QIDQ527950

Justinas Pelenis, Andriy Norets

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612000577

zbMATH Keywords

consistencyheteroscedasticityinferencemixture of normal distributionsBayesian conditional density estimationnon-linearity robust

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Bayesian inference (62F15)

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Uses Software

• np

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