Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise (Q143154)
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scientific article; zbMATH DE number 6918286
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| English | Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise |
scientific article; zbMATH DE number 6918286 |
Statements
101
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250-276
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September 2016
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15 August 2018
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Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise (English)
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consistency
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cross validation
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Granger causality
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multivariate \(t\)-distribution
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penalized least squares (PLS)
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score function
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0.8894313
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0.88400793
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0.8734908
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0.87239546
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0.87097216
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0.86973786
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0.86944973
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