In this paper, a new member of the Poisson family of distributions called the Poison-Exponential-Gamma (PEG) distribution for modeling count data is proposed by compounding the Poisson with Exponential-Gamma distributions. The first four moments about the origin and mean of the new PEG...

Bandwidth plays an important role in determining the performance of local linear estimators. In this paper, we propose a Bayesian approach to bandwidth selection for local linear estimation of time-varying coefficient time series models, where the errors are assumed to follow the Gaussian kernel...