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

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@@ Property / published in @@
+Computational Statistics and Data Analysis
@@ Property / published in: Computational Statistics and Data Analysis / rank @@
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@@ Property / publication date @@
+August 2018Timestamp +2018-08-15T00:00:00Z
Timezone +00:00
Calendar Gregorian
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++2018-08-15T00:00:00Z
-Timezone
++00:00
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+Gregorian
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@@ Property / publication date: 15 August 2018 / rank @@
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@@ Property / author @@
+Namgil Lee
@@ Property / author: Namgil Lee / rank @@
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@@ Property / author @@
+Hyemi Choi
@@ Property / author: Hyemi Choi / rank @@
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@@ Property / author @@
+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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@@ Property / zbMATH Open document ID @@
+.62130
@@ Property / zbMATH Open document ID: 1466.62130 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+-08
@@ Property / Mathematics Subject Classification ID: 62-08 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+F15
@@ Property / Mathematics Subject Classification ID: 62F15 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+J07
@@ Property / Mathematics Subject Classification ID: 62J07 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
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@@ Property / zbMATH DE Number @@
+6918286
@@ Property / zbMATH DE Number: 6918286 / rank @@
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@@ Property / zbMATH Keywords @@
+consistency
@@ Property / zbMATH Keywords: consistency / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+cross validation
@@ Property / zbMATH Keywords: cross validation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Granger causality
@@ Property / zbMATH Keywords: Granger causality / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+multivariate \(t\)-distribution
@@ Property / zbMATH Keywords: multivariate \(t\)-distribution / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+penalized least squares (PLS)
@@ Property / zbMATH Keywords: penalized least squares (PLS) / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+score function
@@ Property / zbMATH Keywords: score function / rank @@
+Normal rank