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Bayesian semiparametric regression [PDF]

open access: possible, 2012
We consider Bayesian estimation of restricted conditional moment models with linear regression as a particular example. The standard practice in the Bayesian literature for semiparametric models is to use flexible families of distributions for the errors and assume that the errors are independent from covariates.
openaire   +1 more source

Semiparametric drift

We study drift dynamics in high-frequency financial returns using a semiparametric approach based on the conventional semimartingale representation of asset prices. By exploiting the exact discretization of the continuous-time process, our framework allows us to formally test for the presence of stochastic drift dynamics in the data and to assess its ...
Giuseppe Buccheri, Giorgio Vocalelli
openaire   +1 more source

Semiparametric Smooth Coefficient Models

Journal of Business and Economic Statistics, 2002
Qi Li, Cliff J Huang, Tsu-Tan Fu
exaly  

Semiparametric Regression Analysis With Missing Response at Random

Journal of the American Statistical Association, 2004
, Oliver Linton, Wolfgang Karl Härdle
exaly  

A Semiparametric Approach to Dimension Reduction

Journal of the American Statistical Association, 2012
Yanyuan Ma, Liping Zhu
exaly  

Efficient Semiparametric Marginal Estimation for Longitudinal/Clustered Data

Journal of the American Statistical Association, 2005
Naisyin Wang, Xihong Lin
exaly  

Semiparametric Regression for Clustered Data Using Generalized Estimating Equations

Journal of the American Statistical Association, 2001
Xihong Lin
exaly  

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