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

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

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