Bayesian variable selection for matrix autoregressive models
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Publication:6547759
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Cites work
- A generalized likelihood-based Bayesian approach for scalable joint regression and covariance selection in high dimensions
- Algorithm 862
- Autoregressive models for matrix-valued time series
- Bayesian Dynamic Tensor Regression
- Bayesian stochastic search for VAR model restrictions
- Comparing unconstrained parametrization methods for return covariance matrix prediction
- Determining the Number of Factors in Approximate Factor Models
- Dynamic variable selection with spike-and-slab process priors
- EMVS: the EM approach to Bayesian variable selection
- Estimating a sparse reduction for general regression in high dimensions
- Estimation of latent factors for high-dimensional time series
- Factor Models for High-Dimensional Tensor Time Series
- Factor models for matrix-valued high-dimensional time series
- Fundamental tensor operations for large-scale data analysis using tensor network formats
- High-Dimensional Macroeconomic Forecasting Using Message Passing Algorithms
- scientific article; zbMATH DE number 741107 (Why is no real title available?)
- scientific article; zbMATH DE number 1034042 (Why is no real title available?)
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- Impulse response analysis in nonlinear multivariate models
- Maximum likelihood estimation via the ECM algorithm: A general framework
- Multilinear tensor regression for longitudinal relational data
- Multivariate output analysis for Markov chain Monte Carlo
- Needles and straw in a haystack: posterior concentration for possibly sparse sequences
- Oracle inequalities for high dimensional vector autoregressions
- Prior selection for panel vector autoregressions
- Separable covariance arrays via the Tucker product, with applications to multivariate relational data
- Sparse reduced-rank regression with covariance estimation
- Tensor Decompositions and Applications
- The Bayesian Lasso
- The Generalized Dynamic Factor Model
- The multilinear normal distribution: introduction and some basic properties
- The spike-and-slab LASSO
- The ubiquitous Kronecker product
Cited in
(5)- Explainable machine learning for financial risk management: two practical use cases
- Tensor train regression with convex regularization
- Wasserstein barycenter regression: application to the joint dynamics of regional GDP and life expectancy in Italy
- Covariance analysis and GMM estimation of Markov switching bilinear processes
- Matrix-valued autoregressive (MAR) models in \texttt{gretl}
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