High-dimensional posterior consistency in Bayesian vector autoregressive models
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Publication:5231502
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Cites work
- An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
- Asymptotic normality of posterior distributions in high-dimensional linear models
- Bayesian regression based on principal components for high-dimensional data
- Bernstein-von Mises theorems for Gaussian regression with increasing number of regressors
- Forecasting and conditional projection using realistic prior distributions
- Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
- Generalized double Pareto shrinkage
- Inference with normal-gamma prior distributions in regression problems
- Necessary and sufficient conditions for high-dimensional posterior consistency under \(g\)-priors
- Network Granger causality with inherent grouping structure
- Penalized regression, standard errors, and Bayesian Lassos
- Posterior consistency in linear models under shrinkage priors
- Regularized estimation and testing for high-dimensional multi-block vector-autoregressive models
- Regularized estimation in sparse high-dimensional time series models
- The Bayesian Lasso
- The horseshoe estimator for sparse signals
Cited in
(26)- Strong selection consistency of Bayesian vector autoregressive models based on a pseudo-likelihood approach
- High-dimensional dynamic systems identification with additional constraints
- Simultaneous Decorrelation of Matrix Time Series
- Convergence analysis of a collapsed Gibbs sampler for Bayesian vector autoregressions
- Bayesian vector heterogeneous autoregressive modelling
- A state-space approach to time-varying reduced-rank regression
- On consistency and sparsity for high-dimensional functional time series with application to autoregressions
- Noninformative priors and frequentist risks of Bayesian estimators of vector-autoregressive models
- A direct estimation of high dimensional stationary vector autoregressions
- Bayesian nonparametric sparse VAR models
- Finite sample theory for high-dimensional functional/scalar time series with applications
- Regularized estimation and testing for high-dimensional multi-block vector-autoregressive models
- Ridge regularized estimation of VAR models for inference
- Adaptive hierarchical priors for high-dimensional vector autoregressions
- The EAS approach for graphical selection consistency in vector autoregression models
- Two-step mixed-type multivariate Bayesian sparse variable selection with shrinkage priors
- A regularized low tubal-rank model for high-dimensional time series data
- Bayesian sparse seemingly unrelated regressions model with variable selection and covariance estimation via the horseshoe+
- High-dimensional structure learning of sparse vector autoregressive models using fractional marginal pseudo-likelihood
- Bayesian group-shrinkage based estimation for panel vector autoregressive models with mixed frequency data
- On a matrix-valued autoregressive model
- A Bayesian panel vector autoregression to analyze the impact of climate shocks on high-income economies
- Matrix Autoregressive Spatio-Temporal Models
- Scenario-based quantile connectedness of the U.S. interbank liquidity risk network
- A new posterior sampler for Bayesian structural vector autoregressive models
- Bayesian variable selection for matrix autoregressive models
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