The Bayesian nested Lasso for mixed frequency regression models
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Publication:6179127
DOI10.1214/22-aoas1718MaRDI QIDQ6179127
Kshitij Khare, George Michailidis, Satyajit Ghosh
Publication date: 16 January 2024
Published in: The Annals of Applied Statistics (Search for Journal in Brave)
Cites Work
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- Nearly unbiased variable selection under minimax concave penalty
- Bayesian variable selection with shrinking and diffusing priors
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- Regression models with mixed sampling frequencies
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- Optimal predictive model selection.
- Bayesian MIDAS penalized regressions: estimation, selection, and prediction
- Sparse estimation of large covariance matrices via a nested Lasso penalty
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Asymptotic Inference about Predictive Ability
- State Space Models and MIDAS Regressions
- High-dimensional macroeconomic forecasting and variable selection via penalized regression
- Prior distributions for variance parameters in hierarchical models (Comment on article by Browne and Draper)
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