Bayesian feature selection in joint quantile time series analysis

DOI10.1214/23-BA1401MaRDI QIDQ7025504zbMATH OpenFDO

Authors Ning Ning

Publication date 19 February 2025

Published in Bayesian Analysis (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/journals/bayesian-analysis/volume-20/issue-1/Bayesian-Feature-Selection-in-Joint-Quantile-Time-Series-Analysis/10.1214/23-BA1401.full

zbMATH Keywords

Bayesian inferencedimension reductionmultivariate time series analysisquantile feature selection

Mathematics Subject Classification ID

Statistics (62-XX) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Multivariate analysis and fuzziness (62H86)

Cites work

• scientific article; zbMATH DE number 1034042 (Why is no real title available?)
• scientific article; zbMATH DE number 2148859 (Why is no real title available?)
• A Bayesian Quantile Time Series Model for Asset Returns
• A simple and efficient simulation smoother for state space time series analysis
• Bayesian feature selection in joint quantile time series analysis
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Bayesian quantile regression
• Bayesian variable selection in quantile regression
• Benchmark priors for Bayesian model averaging.
• Function-on-scalar quantile regression with application to mass spectrometry proteomics data
• Introducing Monte Carlo Methods with R
• Model Selection and Accounting for Model Uncertainty in Graphical Models Using Occam's Window
• Multivariate Bayesian structural time series model
• Multivariate time series analysis from a Bayesian machine learning perspective
• Posterior Inference in Bayesian Quantile Regression with Asymmetric Laplace Likelihood
• Posterior consistency of Bayesian quantile regression based on the misspecified asymmetric Laplace density
• Predicting the present with Bayesian structural time series
• Probabilistic Forecasts, Calibration and Sharpness
• Pseudo-marginal Metropolis–Hastings sampling using averages of unbiased estimators
• Scalable Monte Carlo inference and rescaled local asymptotic normality
• Spike and slab variable selection: frequentist and Bayesian strategies
• Time-varying sparsity in dynamic regression models
• Towards optimal scaling of Metropolis-coupled Markov chain Monte Carlo

Cited in

(3)

• Detecting structural shifts and estimating single change-points in interval-based time series
• Function-on-function regression models with nonlinear dynamic effect and linear concurrent effect
• Bayesian feature selection in joint quantile time series analysis

This page was built for publication: Bayesian feature selection in joint quantile time series analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7025504)