Large Bayesian VARMAs
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Cites work
- scientific article; zbMATH DE number 4135256 (Why is no real title available?)
- scientific article; zbMATH DE number 775736 (Why is no real title available?)
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- A Unified Approach to Identifying Multivariate Time Series Models
- Bayesian stochastic search for VAR model restrictions
- Business cycle analysis without much theory: A look at structural VARs
- Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data
- Forecasting and conditional projection using realistic prior distributions
- Identification of echelon canonical forms for vector linear processes using least squares
- Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm
- Moving average stochastic volatility models with application to inflation forecast
- On the study of some functions of multivariate ARMA processes
- Partially Collapsed Gibbs Samplers
- Pitfalls of estimating the marginal likelihood using the modified harmonic mean
- Structural vector autoregressions: theory of identification and algorithms for inference
- The Identification and Parameterization of Armax and State Space Forms
- Time Varying Structural Vector Autoregressions and Monetary Policy
- Two canonical VARMA forms: scalar component models vis-à-vis the echelon form
- Variable selection for regression models
Cited in
(19)- Identifying noise shocks
- Editorial for special issue: Vector autoregressions
- High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition
- Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
- Bayesian variable selection in a large vector autoregression for origin-destination traffic flow modelling
- Bayesian multivariate time series methods for empirical macroeconomics
- On a matrix-valued autoregressive model
- Vector autoregressive moving average identification for macroeconomic modeling: a new methodology
- Bayesian nonparametric vector autoregressive models
- Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages
- Bayesian inference on structural impulse response functions
- A Bayesian analysis of normalized VAR models
- Estimation and forecasting in vector autoregressive moving average models for rich datasets
- A Measure-Theoretic Variational Bayesian Algorithm for Large Dimensional Problems
- Relevant parameter changes in structural break models
- Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure
- Choosing between identification schemes in noisy-news models
- Variable targeting and reduction in large vector autoregressions with applications to workforce indicators
- High-dimensional conditionally Gaussian state space models with missing data
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