Density and conditional distribution based specification analysis

نویسنده

  • Norman R. Swanson
چکیده

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Bayesian Prediction Intervals under Bivariate Truncated Generalized Cauchy Distribution

Ateya and Madhagi (2011) introduced a multivariate form of truncated generalized Cauchy distribution (TGCD), which introduced by Ateya and Al-Hussaini (2007). The multivariate version of (TGCD) is denoted by (MVTGCD). Among the features of this form are that subvectors and conditional subvectors of random vectors, distributed according to this distribution, have the same form of distribution ...

متن کامل

Specification test for Markov models with measurement errors

Most existing works on specification testing assume that we have direct observations from the model of interest. We study specification testing for Markov models based on contaminated observations. The evolving model dynamics of the unobservable Markov chain is implicitly coded into the conditional distribution of the observed process. To test whether the underlying Markov chain follows a param...

متن کامل

Bayesian Density Regression

This article considers Bayesian methods for density regression, allowing a random probability distribution to change flexibly with multiple predictors. The conditional response distribution is expressed as a nonparametric mixture of regression models, with the mixture distribution changing with predictors. A class of weighted mixture of Dirichlet process (WMDP) priors is proposed for the uncoun...

متن کامل

An Example on Modelling Conditional Higher Moments using Maximum Entropy Density with High Frequency Data

Since the introduction of the Autoregressive Conditional Heteroscedasticity (ARCH) model of Engle (1982), the literature of modelling the conditional second moment has become increasingly popular in the last two decades. This popularity is reflected by the numerous volatility models being proposed in the literature and their multivariate counterparts (see McAleer (2005) for an excellent survey ...

متن کامل

Density and Conditional Distribution Based

The technique of using densities and conditional distributions to carry out consistent specification testing and model selection amongst multiple diffusion processes have received considerable attention from both financial theoreticians and empirical econometricians over the last two decades. One reason for this interest is that correct specification of diffusion models describing dynamics of f...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2012