Parsimony inducing priors for large scale state-space models
Hedibert F. Lopes, Robert E. McCulloch, Ruey S. Tsay
| Year of publication: |
2022
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|---|---|
| Authors: | Lopes, Hedibert Freitas ; McCulloch, Robert E. ; Tsay, Ruey S. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 230.2022, 1, p. 39-61
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| Subject: | Bayesian modeling | Conditional heteroscedasticity | Forward filtering and backward sampling | Parallel computing | Shrinkage | Sparsity | Bayes-Statistik | Bayesian inference | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Zustandsraummodell | State space model | Stichprobenerhebung | Sampling | Heteroskedastizität | Heteroscedasticity |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2021.11.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013441913