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Essays on Bayesian semiparametric ordinal-response models
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Dimitrakopoulos, Stefanos (2013) Essays on Bayesian semiparametric ordinal-response models. PhD thesis, University of Warwick.
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Official URL: http://webcat.warwick.ac.uk/record=b2751221~S1
Abstract
Bayesian nonparametric modelling has been widely applied to statistics and econometrics due to the various simulation methods that have been developed and in particular of Markov Chain Monte Carlo (MCMC) techniques.
This thesis develops novel Bayesian nonparametric ordinal-response models and proposes efficient MCMC algorithms to estimate them.
In chapter 21, we set up a model for inference on panel ordered data and apply it to sovereign credit ratings. In chapter 3, a model for ordinal-valued time series data is considered and is used to examine contagion across stock markets. Using real and simulated data, we show that the proposed models provide a great deal of
flexibility in modelling and overcome the standard weakness of Bayesian methods due to the usual parametric assumptions.
Item Type: | Thesis (PhD) | ||||
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Subjects: | H Social Sciences > HB Economic Theory | ||||
Library of Congress Subject Headings (LCSH): | Bayesian statistical decision theory, Econometric models, Markov processes, Monte Carlo method | ||||
Official Date: | December 2013 | ||||
Dates: |
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Institution: | University of Warwick | ||||
Theses Department: | Department of Economics | ||||
Thesis Type: | PhD | ||||
Publication Status: | Unpublished | ||||
Supervisor(s)/Advisor: | Smith, Jeremy (Jeremy P.) ; Pitt, Michael K. | ||||
Sponsors: | University of Warwick ; University of Warwick. Department of Economics | ||||
Extent: | xiii, 147 leaves : charts | ||||
Language: | eng |
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