Bayesian compressed vector autoregressions
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Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Macroeconomic theory (monetary models, models of taxation) (91B64) Economic time series analysis (91B84)
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Cites work
- scientific article; zbMATH DE number 3605818 (Why is no real title available?)
- scientific article; zbMATH DE number 3390199 (Why is no real title available?)
- Asymptotic Inference about Predictive Ability
- Bayesian compressed regression
- Bayesian multivariate time series methods for empirical macroeconomics
- Bayesian reduced rank regression in econometrics
- Bayesian stochastic search for VAR model restrictions
- Complete subset regressions
- Complete subset regressions with large-dimensional sets of predictors
- Compressed sensing
- Database-friendly random projections: Johnson-Lindenstrauss with binary coins.
- Extensions of Lipschitz mappings into a Hilbert space
- Large time-varying parameter VARs
- Model Averaging and Dimension Selection for the Singular Value Decomposition
- Real-time density forecasts from Bayesian vector autoregressions with stochastic volatility
- Stochastic model specification search for time-varying parameter VARs
- Structural analysis with multivariate autoregressive index models
- The Bayesian Lasso
- Time Varying Structural Vector Autoregressions and Monetary Policy
Cited in
(23)- Forecasting in vector autoregressions with many predictors
- Adaptive hierarchical priors for high-dimensional vector autoregressions
- Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
- Boosting high dimensional predictive regressions with time varying parameters
- Random Forest Variable Selection for Sparse Vector Autoregressive Models
- Computationally efficient inference in large Bayesian mixed frequency VARs
- Large Bayesian VARMAs
- Forecasting using random subspace methods
- Optimal asset allocation with multivariate Bayesian dynamic linear models
- Dynamic variable selection with spike-and-slab process priors
- Proxy vector autoregressions in a data-rich environment
- Inducing Sparsity and Shrinkage in Time-Varying Parameter Models
- APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE‐DIMENSIONAL MULTICOUNTRY VARs
- Bayesian prior modeling in vector autoregressions via the Yule-Walker equations
- Bayesian MIDAS penalized regressions: estimation, selection, and prediction
- Targeted random projection for prediction from high-dimensional features
- Forecasting and conditional projection using realistic prior distributions
- Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models
- Inference in Bayesian additive vector autoregressive tree models
- Editorial introduction on complexity and big data in economics and finance: recent developments from a Bayesian perspective
- Bayesian Approaches to Shrinkage and Sparse Estimation
- Variable targeting and reduction in large vector autoregressions with applications to workforce indicators
- scientific article; zbMATH DE number 7306867 (Why is no real title available?)
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