Bayesian compressed vector autoregressions (Q1740345)

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Bayesian compressed vector autoregressions
scientific article

    Statements

    title
    Bayesian compressed vector autoregressions (English)
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    author
    Gary Koop
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    Dimitris Korobilis
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    Davide Pettenuzzo
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    publication date
    30 April 2019
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    zbMATH Keywords
    multivariate time series
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    random projection
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    forecasting
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    Identifiers

    Mathematics Subject Classification ID
    62P20
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    62F15
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    62M10
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    62M20
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    91B64
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    91B84
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    zbMATH DE Number
    7049092
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