Bayesian Bandwidth Selection in Nonparametric Time-Varying Coefficient Models
نویسندگان
چکیده
منابع مشابه
Bayesian Bandwidth Selection in Nonparametric Time - Varying Coefficient Models
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 error density. A Markov chain Monte Carlo algorithm is presented to simultaneously estimate the band...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2216328