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A Simple Class of Bayesian Nonparametric Autoregression Models
We introduce a model for a time series of continuous outcomes, that can be expressed as fully nonparametric regression or density regression on lagged terms. The model is based on a dependent Dirichlet process prior on a family of random probability measures indexed by the lagged covariates. The app...
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| Publicado no: | Bayesian Anal |
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| Main Authors: | , , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
2013
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC4454430/ https://ncbi.nlm.nih.gov/pubmed/26052373 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1214/13-BA803 |
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