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CSDA
2010
208views more  CSDA 2010»
15 years 4 months ago
Bayesian density estimation and model selection using nonparametric hierarchical mixtures
We consider mixtures of parametric densities on the positive reals with a normalized generalized gamma process (Brix, 1999) as mixing measure. This class of mixtures encompasses t...
Raffaele Argiento, Alessandra Guglielmi, Antonio P...
CSDA
2010
111views more  CSDA 2010»
15 years 4 months ago
Robust online signal extraction from multivariate time series
We introduce robust regression-based online filters for multivariate time series and discuss their performance in real time signal extraction settings. We focus on methods that ca...
Vivian Lanius, Ursula Gather
CSDA
2010
94views more  CSDA 2010»
15 years 4 months ago
Implementing Bayesian predictive procedures: The K-prime and K-square distributions
The implementation of Bayesian predictive procedures under standard normal models is considered. Two distributions are of particular interest, the K-prime and Ksquare distribution...
Jacques Poitevineau, Bruno Lecoutre
CSDA
2010
67views more  CSDA 2010»
15 years 4 months ago
Factor-GMM estimation with large sets of possibly weak instruments
This paper analyses the use of factor analysis for instrumental variable estimation when the number of instruments tends to infinity. We consider cases where the unobserved factor...
George Kapetanios, Massimiliano Marcellino
DAM
2010
116views more  DAM 2010»
15 years 4 months ago
Minimum sum edge colorings of multicycles
In the minimum sum edge coloring problem, we aim to assign natural numbers to edges of a graph, so that adjacent edges receive different numbers, and the sum of the numbers assign...
Jean Cardinal, Vlady Ravelomanana, Mario Valencia-...