2 papers
stat.ME2019
The FFBS Estimation of High Dimensional Panel Data Factor Stochastic Volatility Models
Guobin Fang, Huimin Ma, Michelle Xia +1
In this paper, We propose a new style panel data factor stochastic volatility model with observable factors and unobservable factors based on the multivariate stochastic volatility…
math.ST2016
A finite mixture model approach to regression under covariate misclassification
P. Richard Hahn, Michelle Xia
This paper considers the problem of mismeasured categorical covariates in the context of regression modeling; if unaccounted for, such misclassification is known to result in mises…