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We propose a fully Bayesian inference for semiparametric joint mean and variance models on the basis of B-spline approximations of nonparametric components. An efficient MCMC method which combines Gibbs sampler and Metropolis-Hastings algorithm is suggested for the inference, and the methodology is illustrated through a simulation study and a real example. (c) 2013 Elsevier B.V. All rights reserved.
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