The Bayesian nested Lasso for mixed frequency regression models

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)

zbMATH Keywords

lag selectionspike-and-slab priorsmixed frequency regressionnested Lasso

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Cites Work

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• Nearly unbiased variable selection under minimax concave penalty
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• MIDAS Regressions: Further Results and New Directions
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• 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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