IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v83y2013i7p1624-1631.html
   My bibliography  Save this article

A semiparametric Bayesian approach to joint mean and variance models

Author

Listed:
  • Xu, Dengke
  • Zhang, Zhongzhan

Abstract

We propose a fully Bayesian inference for semiparametric joint mean and variance models on the basis of B-spline approximations of nonparametric components. An efficient MCMC method which combines Gibbs sampler and Metropolis–Hastings algorithm is suggested for the inference, and the methodology is illustrated through a simulation study and a real example.

Suggested Citation

  • Xu, Dengke & Zhang, Zhongzhan, 2013. "A semiparametric Bayesian approach to joint mean and variance models," Statistics & Probability Letters, Elsevier, vol. 83(7), pages 1624-1631.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:7:p:1624-1631
    DOI: 10.1016/j.spl.2013.02.023
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167715213000734
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spl.2013.02.023?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Murray Aitkin, 1987. "Modelling Variance Heterogeneity in Normal Regression Using GLIM," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 36(3), pages 332-339, November.
    2. He, Xuming & Fung, Wing K. & Zhu, Zhongyi, 2005. "Robust Estimation in Generalized Partial Linear Models for Clustered Data," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1176-1184, December.
    3. Harvey, A C, 1976. "Estimating Regression Models with Multiplicative Heteroscedasticity," Econometrica, Econometric Society, vol. 44(3), pages 461-465, May.
    4. Chen, Xue-Dong & Tang, Nian-Sheng, 2010. "Bayesian analysis of semiparametric reproductive dispersion mixed-effects models," Computational Statistics & Data Analysis, Elsevier, vol. 54(9), pages 2145-2158, September.
    5. Ruppert,David & Wand,M. P. & Carroll,R. J., 2003. "Semiparametric Regression," Cambridge Books, Cambridge University Press, number 9780521780506, September.
    6. Ruppert,David & Wand,M. P. & Carroll,R. J., 2003. "Semiparametric Regression," Cambridge Books, Cambridge University Press, number 9780521785167, September.
    7. Liucang Wu & Huiqiong Li, 2012. "Variable selection for joint mean and dispersion models of the inverse Gaussian distribution," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(6), pages 795-808, August.
    8. Li, Ai-Ping & Chen, Zhao-Xia & Xie, Feng-Chang, 2012. "Diagnostic analysis for heterogeneous log-Birnbaum–Saunders regression models," Statistics & Probability Letters, Elsevier, vol. 82(9), pages 1690-1698.
    9. Zhao, Peixin & Xue, Liugen, 2010. "Variable selection for semiparametric varying coefficient partially linear errors-in-variables models," Journal of Multivariate Analysis, Elsevier, vol. 101(8), pages 1872-1883, September.
    10. Xie, Feng-Chang & Wei, Bo-Cheng & Lin, Jin-Guan, 2009. "Homogeneity diagnostics for skew-normal nonlinear regression models," Statistics & Probability Letters, Elsevier, vol. 79(6), pages 821-827, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Dengke Xu & Zhongzhan Zhang & Liucang Wu, 2014. "Bayesian analysis of joint mean and covariance models for longitudinal data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(11), pages 2504-2514, November.
    2. Luz Marina Rondon & Heleno Bolfarine, 2016. "Bayesian analysis of generalized elliptical semi-parametric models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(8), pages 1508-1524, June.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Tang, Nian-Sheng & Duan, Xing-De, 2012. "A semiparametric Bayesian approach to generalized partial linear mixed models for longitudinal data," Computational Statistics & Data Analysis, Elsevier, vol. 56(12), pages 4348-4365.
    2. Tang, Nian-Sheng & Duan, Xing-De, 2014. "Bayesian influence analysis of generalized partial linear mixed models for longitudinal data," Journal of Multivariate Analysis, Elsevier, vol. 126(C), pages 86-99.
    3. Liu-Cang Wu & Zhong-Zhan Zhang & Deng-Ke Xu, 2012. "Variable selection in joint mean and variance models of Box--Cox transformation," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(12), pages 2543-2555, August.
    4. Xiao-Feng Wang & Bo Hu & Bin Wang & Kuangnan Fang, 2014. "Bayesian generalized varying coefficient models for longitudinal proportional data with errors-in-covariates," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(6), pages 1342-1357, June.
    5. Yeşim Güney & Yetkin Tuaç & Şenay Özdemir & Olcay Arslan, 2021. "Robust estimation and variable selection in heteroscedastic regression model using least favorable distribution," Computational Statistics, Springer, vol. 36(2), pages 805-827, June.
    6. Liucang Wu & Huiqiong Li, 2012. "Variable selection for joint mean and dispersion models of the inverse Gaussian distribution," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(6), pages 795-808, August.
    7. Bravo, Francesco, 2015. "Semiparametric estimation with missing covariates," Journal of Multivariate Analysis, Elsevier, vol. 139(C), pages 329-346.
    8. Otto-Sobotka, Fabian & Salvati, Nicola & Ranalli, Maria Giovanna & Kneib, Thomas, 2019. "Adaptive semiparametric M-quantile regression," Econometrics and Statistics, Elsevier, vol. 11(C), pages 116-129.
    9. Mestekemper, Thomas & Windmann, Michael & Kauermann, Göran, 2010. "Functional hourly forecasting of water temperature," International Journal of Forecasting, Elsevier, vol. 26(4), pages 684-699, October.
    10. Naschold, Felix, 2012. "“The Poor Stay Poor”: Household Asset Poverty Traps in Rural Semi-Arid India," World Development, Elsevier, vol. 40(10), pages 2033-2043.
    11. Arthur Charpentier & Emmanuel Flachaire & Antoine Ly, 2017. "Econom\'etrie et Machine Learning," Papers 1708.06992, arXiv.org, revised Mar 2018.
    12. Hyunju Son & Youyi Fong, 2021. "Fast grid search and bootstrap‐based inference for continuous two‐phase polynomial regression models," Environmetrics, John Wiley & Sons, Ltd., vol. 32(3), May.
    13. Welham, S.J. & Thompson, R., 2009. "A note on bimodality in the log-likelihood function for penalized spline mixed models," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 920-931, February.
    14. Dlugosz, Stephan & Mammen, Enno & Wilke, Ralf A., 2017. "Generalized partially linear regression with misclassified data and an application to labour market transitions," Computational Statistics & Data Analysis, Elsevier, vol. 110(C), pages 145-159.
    15. Longhi, Christian & Musolesi, Antonio & Baumont, Catherine, 2014. "Modeling structural change in the European metropolitan areas during the process of economic integration," Economic Modelling, Elsevier, vol. 37(C), pages 395-407.
    16. Kuhlenkasper, Torben & Kauermann, Göran, 2010. "Female wage profiles: An additive mixed model approach to employment breaks due to childcare," HWWI Research Papers 2-18, Hamburg Institute of International Economics (HWWI).
    17. Strasak, Alexander M. & Umlauf, Nikolaus & Pfeiffer, Ruth M. & Lang, Stefan, 2011. "Comparing penalized splines and fractional polynomials for flexible modelling of the effects of continuous predictor variables," Computational Statistics & Data Analysis, Elsevier, vol. 55(4), pages 1540-1551, April.
    18. Christian Schluter & Jackline Wahba, 2012. "Abstract: Illegal Migration, Wages, and Remittances: Semi-Parametric Estimation of Illegality Effects," Norface Discussion Paper Series 2012037, Norface Research Programme on Migration, Department of Economics, University College London.
    19. Zi Ye & Giles Hooker & Stephen P. Ellner, 2021. "Generalized Single Index Models and Jensen Effects on Reproduction and Survival," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 26(3), pages 492-512, September.
    20. Esra Kürüm & Danh V. Nguyen & Qi Qian & Sudipto Banerjee & Connie M. Rhee & Damla Şentürk, 2024. "Spatiotemporal multilevel joint modeling of longitudinal and survival outcomes in end-stage kidney disease," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, vol. 30(4), pages 827-852, October.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:83:y:2013:i:7:p:1624-1631. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.