Bayesian assessment of dimensionality in reduced rank regression

DOI10.1111/J.1467-9574.2004.00108.XzbMath1059.62022OpenAlexW2042712612MaRDI QIDQ4671010

Jukka Corander, Mattias Villani

Publication date: 23 April 2005

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9574.2004.00108.x

zbMATH Keywords

cointegrationmultivariate regressiongrowth curvesfractional Bayes

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Bayesian inference (62F15)

Related Items (8)

Prior distributions for objective Bayesian analysis ⋮ An oracle inequality for quasi-Bayesian nonnegative matrix factorization ⋮ A reduced-rank approach to predicting multiple binary responses through machine learning ⋮ Calibrated Bayes factors under flexible priors ⋮ Stability Approach to Regularization Selection for Reduced-Rank Regression ⋮ BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION ⋮ Priors for the Long Run ⋮ A Bayesian Approach to Modelling Graphical Vector Autoregressions

Cites Work

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• Bayesian reduced rank regression in econometrics
• Multivariate reduced-rank regression
• Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
• Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
• Reduced-rank growth curve models
• Fractional Bayesian Lag Length Inference in Multivariate Autoregressive Processes
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• A new look at the statistical model identification

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