A Bayesian Framework for Sparse Estimation in High-Dimensional Mixed Frequency Vector Autoregressive Models (Q6069889)
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scientific article; zbMATH DE number 7767622
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| English | A Bayesian Framework for Sparse Estimation in High-Dimensional Mixed Frequency Vector Autoregressive Models |
scientific article; zbMATH DE number 7767622 |
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A Bayesian Framework for Sparse Estimation in High-Dimensional Mixed Frequency Vector Autoregressive Models (English)
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17 November 2023
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high-dimensional data
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mixed frequencies
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nowcasting
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pseudo-likelihood
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spike and slab prior
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strong selection consistency
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