Discussion of “Nonparametric Bayesian Inference in Applications”: Bayesian nonparametric methods in econometrics

Discussion of “Nonparametric Bayesian Inference in Applications”: Bayesian nonparametric... The use of Bayesian nonparametrics models has increased rapidly over the last few decades driven by increasing computational power and the development of efficient Markov chain Monte Carlo algorithms. We review some applications of these models in economic applications including: volatility modelling (using both stochastic volatility models and GARCH-type models) with Dirichlet process mixture models, uses in portfolio allocation problems, long memory models with flexible forms of time-dependence, flexible extension of the dynamic Nelson-Siegel model for interest rate yields and multivariate time series models used in macroeconometrics. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Statistical Methods & Applications Springer Journals

Discussion of “Nonparametric Bayesian Inference in Applications”: Bayesian nonparametric methods in econometrics

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Publisher
Springer Journals
Copyright
Copyright © 2017 by Springer-Verlag GmbH Germany
Subject
Statistics; Statistics, general; Statistical Theory and Methods; Statistics for Business/Economics/Mathematical Finance/Insurance; Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences; Statistics for Life Sciences, Medicine, Health Sciences; Statistics for Social Science, Behavorial Science, Education, Public Policy, and Law
ISSN
1618-2510
eISSN
1613-981X
D.O.I.
10.1007/s10260-017-0384-0
Publisher site
See Article on Publisher Site

Abstract

The use of Bayesian nonparametrics models has increased rapidly over the last few decades driven by increasing computational power and the development of efficient Markov chain Monte Carlo algorithms. We review some applications of these models in economic applications including: volatility modelling (using both stochastic volatility models and GARCH-type models) with Dirichlet process mixture models, uses in portfolio allocation problems, long memory models with flexible forms of time-dependence, flexible extension of the dynamic Nelson-Siegel model for interest rate yields and multivariate time series models used in macroeconometrics.

Journal

Statistical Methods & ApplicationsSpringer Journals

Published: Jul 10, 2017

References

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