Parsimony inducing priors for large scale state-space models

DOI10.1016/J.JECONOM.2021.11.005MaRDI QIDQ2155306zbMATH OpenOpenAlexFDO

Authors Robert E. McCulloch, Ruey S. Tsay, Hedibert F. Lopes

Publication date 15 July 2022

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2021.11.005

zbMATH Keywords

shrinkagesparsityBayesian modelingparallel computingconditional heteroscedasticityforward filtering and backward sampling

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(6)

• Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions
• Minimum bias priors for estimating parameters of additive terms in state-space models
• Achieving shrinkage in a time-varying parameter model framework
• Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model
• Bayesian circular lattice filters for computationally efficient estimation of multivariate time-varying autoregressive models
• Time-dependent shrinkage of time-varying parameter regression models

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