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Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline
http://hdl.handle.net/2261/51495
http://hdl.handle.net/2261/514958e58634c-8c91-4e12-a937-1dd94bf60ba0
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2017-01-17 | |||||
タイトル | ||||||
タイトル | Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Asymmetric double exponential distribution | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Markov chain Monte Carlo | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | multi-move sampler | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | smoothing spline | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | state space approach | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | time-varying quantile | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Kurose, Yuta
× Kurose, Yuta× Omori, Yasuhiro |
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著者所属 | ||||||
著者所属 | Graduate School of Economics, University of Tokyo | |||||
著者所属 | ||||||
著者所属 | Faculty of Economics, University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | A smoothing spline is considered to propose a novel model for the time-varying quantile of the univariate time series using a state space approach. A correlation is further incorporated between the dependent variable and its one-step-ahead quantile. Using a Bayesian approach, an efficient Markov chain Monte Carlo algorithm is described where we use the multi-move sampler, which generates simultaneously latent time-varying quantiles. Numerical examples are provided to show its high sampling efficiency in comparison with the simple algorithm that generates one latent quantile at a time given other latent quantiles. Furthermore, using Japanese inflation rate data, an empirical analysis is provided with the model comparison. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | subsequently published in Journal of Japan Statistical Society. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-845, 発行日 2012-03 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2012/2012cf845ab.html | |||||
異版あり | ||||||
関連タイプ | hasVersion | |||||
識別子タイプ | URI | |||||
関連識別子 | http://hdl.handle.net/2261/50211 |