Since 2014
Bayesian mixture of parametric and nonparametric density estimation: A Misspecification Problem
Brazilian Review of Econometrics
View Archive Info| Field | Value | |
| Title |
Bayesian mixture of parametric and nonparametric density estimation: A Misspecification Problem
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| Creator |
Lopes, Hedibert F.; University of Chicago
Dias, Ronaldo; Universidade Estadual de Campinas |
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| Subject |
Nonparametric Density Estimation, B-Splines, Mixtures Models, MCMC, EM-Algortihm.
C11, C14, C15 |
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| Description |
In this paper we study the effect of model misspecifications for probabilitydensity function estimation. We use a mixture of a parametric and nonparametricdensity estimation. The former can be modeled by any suitable parametricprobability density function, including mixture of parametric models. The latteris given by the known B-spline estimation. The procedure also deals withthe situation when a highly structured data are collected so that it is difficultto propose a parametric model with a large number of mixture components.Then a nonparametric part would help to postulate an appropriate model. Inaddition, in order to reduce the computational cost of getting a nonparametricdensity for high dimensional data a parametric mixture of densities could beused as the starting point for modeling such dataset. Our procedure is computedby using EM-type algorithm for a non-Bayesian approach and MCMCalgorithm under a Bayesian point of view. Simulations and real data analysisshow that our proposed procedure have performed quite well even for nonstructured datasets.
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| Publisher |
Sociedade Brasileira de Econometria
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| Contributor |
CNPq
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| Date |
2015-03-04
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/4134
10.12660/bre.v31n12011.4134 |
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| Source |
Brazilian Review of Econometrics; Vol 31, No 1 (2011); 19-44
Brazilian Review of Econometrics; Vol 31, No 1 (2011); 19-44 1980-2447 |
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| Language |
eng
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/4134/2884
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| Rights |
Copyright (c) 2015 Brazilian Review of Econometrics
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