Bayesian hierarchical modeling on covariance valued data
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Publication:6548772
Cites work
- scientific article; zbMATH DE number 3555239 (Why is no real title available?)
- scientific article; zbMATH DE number 2063756 (Why is no real title available?)
- scientific article; zbMATH DE number 1556163 (Why is no real title available?)
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- Spectral models for covariance matrices
- The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility
- The Wishart autoregressive process of multivariate stochastic volatility
- The conditional autoregressive Wishart model for multivariate stock market volatility
- The horseshoe estimator for sparse signals
- The horseshoe estimator: posterior concentration around nearly black vectors
- Variable selection using shrinkage priors
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