Bayesian modeling of time-varying parameter vector autoregressions using regression trees

MaRDI QIDQ7410233zbMATH OpenFDO

Authors Niko Hauzenberger, Florian Huber, Gary Koop, James B. Mitchell

Publication date 2026

Published in The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://www.projecteuclid.org/journals/annals-of-applied-statistics/volume-20/issue-3/Bayesian-modeling-of-time-varying-parameter-vector-autoregressions-using-regression/10.1214/26-AOAS2217.full

zbMATH Keywords

Bayesian vector autoregressionbusiness cycle shocksmachine learningnonparametric modelingregression treestime-varying parameters

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

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