Achieving shrinkage in a time-varying parameter model framework
Year of publication: |
2019
|
---|---|
Authors: | Bitto, Angela ; Frühwirth-Schnatter, Sylvia |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 210.2019, 1, p. 75-97
|
Subject: | Bayesian inference | Bayesian Lasso | Double gamma prior | Hierarchical priors | Kalman filter | Log predictive density scores | Normal–gamma prior | Sparsity | State space model | Theorie | Theory | Bayes-Statistik | Zustandsraummodell | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Modellierung | Scientific modelling | Schätzung | Estimation | Statistische Verteilung | Statistical distribution |
-
Inducing sparsity and shrinkage in time-varying parameter models
Huber, Florian, (2021)
-
Time-varying parameter four-equation DSGE model
Gupta, Rangan, (2022)
-
Hierarchical shrinkage in time-varying parameter models
Belmonte, Miguel A. G., (2014)
- More ...
-
Frühwirth-Schnatter, Sylvia, (2010)
-
Bayesian Clustering of Categorical Time Series Using Finite Mixtures of Markov Chain Models
Frühwirth-Schnatter, Sylvia, (2009)
-
Frühwirth-Schnatter, Sylvia, (2010)
- More ...