Journal
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
Volume 76, Issue 7, Pages 605-617Publisher
TAYLOR & FRANCIS LTD
DOI: 10.1080/10629360500107824
Keywords
partially linear models; Bayesian; discrete wavelet transform; mixture distribution; MCMC; model selection; model averaging
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A Bayesian wavelet approach is presented for estimating a partially linear model (PLM). A PLM consists of a linear part and a nonparametric component. The nonparametric component is represented with a wavelet series where the wavelet coefficients have assumed prior distributions. The prior for each coefficient consists of a mixture of a normal distribution and a point mass at 0. The linear parameters are assumed to have a normal prior. The hyperparameters are estimated by the marginal maximum likelihood estimator using the direct maximization. The model selection and model averaging methods give different estimates of the model parameters. MCMC computation is used for the estimation of the linear coefficients by model averaging method. Simulated examples illustrate the performance of the proposed estimators.
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