Parsimony inducing priors for large scale state-space models

DOI10.1016/J.JECONOM.2021.11.005OpenAlexW3129837527MaRDI QIDQ2155306FDOQ2155306

Ruey S. Tsay, Robert E. McCulloch, 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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