Gourieroux C., Monfort A.'s Statistics and econometric models, vol. 2 PDF

By Gourieroux C., Monfort A.

ISBN-10: 0521471621

ISBN-13: 9780521471626

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1987), "The calculation of posterior distributions by data augmentation (with discussion)," Journal of the American Statistical Association, 82, 528-550. Tomlinson, G. (1998), Analysis of densities with Dirichlet process priors. Unpublished dissertation. University of Toronto. , and West, M. (1993), "Statistical analysis of mixtures applied to postsynpotential fluctuations," Journal of Neuroscience IVletllOds, 47, 1-23. \Vest, M. (1987), "On scale mixtures of normal distributions," Biometrika, 74,646-648.

1998), "Measuring Heterogeneity ill Forensic Databases", Biometrika to appear. L. (1993), "Mixture analysis of pursuit eye tracking dysfunction in schizophrenia," Biological Psychiatry, 34, 331-340. Tanner, IVLA. H. (1987), "The calculation of posterior distributions by data augmentation (with discussion)," Journal of the American Statistical Association, 82, 528-550. Tomlinson, G. (1998), Analysis of densities with Dirichlet process priors. Unpublished dissertation. University of Toronto. , and West, M.

One natural use, developed by Bush and MacEachern (1996), is to create estimates at the stage where the 0i are generated. To estimate E[h(OdJ, one might use R- 1 L~1 E[h(O~:))ls(i), v(i), X], which often has a closed form expression. In the baseball example, the distribution of O;i I(s, v, x) is a beta distribution, and so with polynomial h, the expectations are easily evaluated. The bioassay model admits a wide range of Rao-Blackwellizations. To estimate the predictive density of the tolerance of an individual not included in the study, a particularly nice Rao-Blackwellization comes from Kuo's (1983) work.

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Statistics and econometric models, vol. 2 by Gourieroux C., Monfort A.


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