Bayesian vector heterogeneous autoregressive modelling

DOI10.1080/00949655.2023.2281644MaRDI QIDQ6586534FDOQ6586534

Authors Young Geun Kim, Changryong Baek

Publication date 13 August 2024

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A unified framework for high-dimensional analysis of \(M\)-estimators with decomposable regularizers
• Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions
• High-dimensional posterior consistency in Bayesian vector autoregressive models
• High-dimensional regression with noisy and missing data: provable guarantees with nonconvexity
• Large time-varying parameter VARs
• Regularized estimation in sparse high-dimensional time series models
• Simultaneous analysis of Lasso and Dantzig selector
• Sparse vector heterogeneous autoregressive modeling for realized volatility

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