Dolores Redondas

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A Bayesian approach is used to estimate a nonparametric regression model. The main features of the procedure are, first, the functional form of the curve is approximated by a mixture of local polynomials by Bayesian Model Averaging (BMA); second, the model weights are approximated by the BIC criterion, and third, a robust estimation procedure is(More)
This article presents a comparison of four methods to compute the posterior probabilities of the possible orders in polynomial regression models. These posterior probabilities are used for forecasting by using Bayesian model averaging. It is shown that Bayesian model averaging provides a closer relationship between the theoretical coverage of the high(More)
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