High-dimensional posterior consistency in Bayesian vector autoregressive models

DOI10.1080/01621459.2018.1437043zbMATH Open1420.62379OpenAlexW2787360447WikidataQ93046441 ScholiaQ93046441MaRDI QIDQ5231502FDOQ5231502

Authors: Satyajit Ghosh, Kshitij Khare, George Michailidis 

Publication date: 27 August 2019

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: http://europepmc.org/articles/pmc6716151

Recommendations

• Strong selection consistency of Bayesian vector autoregressive models based on a pseudo-likelihood approach
• Bayesian analysis of vector-autoregressive models with noninformative priors.
• Sparsity concepts and estimation procedures for high-dimensional vector autoregressive models
• Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise
• Bayesian nonparametric sparse VAR models

zbMATH Keywords

vector autoregressive modelsposterior consistencyshrinkage priorBayesian lasso

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Regularized estimation in sparse high-dimensional time series models
• Inference with normal-gamma prior distributions in regression problems
• The horseshoe estimator for sparse signals
• The Bayesian Lasso
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
• Forecasting and conditional projection using realistic prior distributions
• Penalized regression, standard errors, and Bayesian Lassos
• Asymptotic normality of posterior distributions in high-dimensional linear models
• Necessary and sufficient conditions for high-dimensional posterior consistency under \(g\)-priors
• Posterior consistency in linear models under shrinkage priors
• Bayesian regression based on principal components for high-dimensional data
• Generalized double Pareto shrinkage
• Bernstein-von Mises theorems for Gaussian regression with increasing number of regressors
• Regularized estimation and testing for high-dimensional multi-block vector-autoregressive models
• Network Granger causality with inherent grouping structure

Cited In (22)

• 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
• A direct estimation of high dimensional stationary vector autoregressions
• Noninformative priors and frequentist risks of Bayesian estimators of vector-autoregressive models
• Bayesian nonparametric sparse VAR models
• Regularized estimation and testing for high-dimensional multi-block vector-autoregressive models
• Finite sample theory for high-dimensional functional/scalar time series with applications
• The EAS approach for graphical selection consistency in vector autoregression models
• Adaptive hierarchical priors for high-dimensional vector autoregressions
• 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
• On a matrix-valued autoregressive model
• A Bayesian panel vector autoregression to analyze the impact of climate shocks on high-income economies
• Scenario-based quantile connectedness of the U.S. interbank liquidity risk network
• Matrix Autoregressive Spatio-Temporal Models
• A new posterior sampler for Bayesian structural vector autoregressive models
• Bayesian variable selection for matrix autoregressive models

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