Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise (Q143154): Difference between revisions

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-.1016/j.csda.2016.03.007
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+Computational Statistics and Data Analysis
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+August 2018Timestamp +2018-08-15T00:00:00Z
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@@ Property / publication date: 15 August 2018 / rank @@
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+Namgil Lee
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+Hyemi Choi
@@ Property / author: Hyemi Choi / rank @@
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+Sung-Ho Kim
@@ Property / author: Sung-Ho Kim / rank @@
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@@ Property / title @@
+Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise (English)
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+consistency
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+cross validation
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+Granger causality
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+multivariate \(t\)-distribution
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+penalized least squares (PLS)
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+A new look at the Bayes procedure
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+Publication:143154