Showing 211 - 220 of 231
A Gaussian copula regression model gives a tractable way of handling a multivariate regression when some of the marginal distributions are non-Gaussian. Our paper presents a general Bayesian approach for estimating a Gaussian copula model that can handle any combination of discrete and...
Persistent link: https://www.econbiz.de/10005743410
Time series subject to parameter shifts of random magnitude and timing are commonly modeled with a change-point approach using Chib's (1998) algorithm to draw the break dates. We outline some advantages of an alternative approach in which breaks come through mixture distributions in state...
Persistent link: https://www.econbiz.de/10005649068
We model a regression density nonparametrically so that at each value of the covariates the density is a mixture of normals with the means, variances and mixture probabilities of the com- ponents changing smoothly as a function of the covariates. The model extends existing models in two...
Persistent link: https://www.econbiz.de/10005649083
We propose a general class of models and a unified Bayesian inference methodology for flexibly estimating the density of a response variable conditional on a possibly high-dimensional set of covariates. Our model is a finite mixture of component models with covariate-dependent mixing weights....
Persistent link: https://www.econbiz.de/10010588323
Our article considers the class of recently developed stochastic models that combine claims payments and incurred losses information into a coherent reserving methodology. In particular, we develop a family of Heirarchical Bayesian Paid-Incurred-Claims models, combining the claims reserving...
Persistent link: https://www.econbiz.de/10010599851
We propose an approach to the regularization of covariance matrices that can be applied to any model for which the likelihood is available in closed form. The approach is based on using mixtures of double exponential or normal distributions as priors for correlation parameters, and on maximizing...
Persistent link: https://www.econbiz.de/10010600510
This article presents a Bayesian analysis of a multinomial probit model by building on previous work that specified priors on identified parameters. The main contribution of our article is to propose a prior on the covariance matrix of the latent utilities that permits elements of the inverse of...
Persistent link: https://www.econbiz.de/10008583027
Harrison and Kreps showed in 1978 how the heterogeneity of investor beliefs can drive speculation, leading the price of an asset to exceed its intrinsic value. By focusing on an extremely simple market model—a finite-state Markov chain—the analysis of Harrison and Kreps achieved great...
Persistent link: https://www.econbiz.de/10009149763
This paper provides a method for nonparametrically modeling the relationship between consumer preference for product features, such as reliability or durability, and covariates that describe consumers and how they use the product. This relationship is of interest to firms designing and...
Persistent link: https://www.econbiz.de/10008788312
Smooth mixtures, i.e. mixture models with covariate-dependent mixing weights, are very useful flexible models for conditional densities. Previous work shows that using too simple mixture components for modeling heteroscedastic and/or heavy tailed data can give a poor fit, even with a large...
Persistent link: https://www.econbiz.de/10008671765