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CSDA
2006
71views more  CSDA 2006»
15 years 5 days ago
Computation of Huber's M-estimates for a block-angular regression problem
Huber's M-estimation technique is applied to a block-angular regression problem, which may arise from some applications. A recursive, modified Newton approach to computing th...
Xiao-Wen Chang
97
Voted
CSDA
2006
145views more  CSDA 2006»
15 years 5 days ago
Improved predictions penalizing both slope and curvature in additive models
A new method is proposed to estimate the nonlinear functions in an additive regression model. Usually, these functions are estimated by penalized least squares, penalizing the cur...
Magne Aldrin
CSDA
2006
94views more  CSDA 2006»
15 years 5 days ago
Signal extraction for simulated games with a large number of players
A signal extraction problem in simulated games is studied. A modelling technique is proposed for deriving beliefs for players in simulated games. Since standard Bayesian games pro...
Aki Lehtinen
93
Voted
CSDA
2007
202views more  CSDA 2007»
15 years 4 days ago
Bayesian estimation of the Gaussian mixture GARCH model
In this paper, we perform Bayesian inference and prediction for a GARCH model where the innovations are assumed to follow a mixture of two Gaussian distributions. This GARCH model...
María Concepción Ausín, Pedro...
82
Voted
CSDA
2007
104views more  CSDA 2007»
15 years 4 days ago
Archimedean copula estimation using Bayesian splines smoothing techniques
Copulas enable to specify multivariate distributions with given marginals.Various parametric proposals were made in the literature for these quantities, mainly in the bivariate ca...
Philippe Lambert