Adaptive Shrinkage in Bayesian Vector Autoregressive Models

DOI10.1080/07350015.2016.1256217zbMATH Open1548.62575MaRDI QIDQ6634836FDOQ6634836

Authors: Florian Huber, Martin Feldkircher 

Publication date: 8 November 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
• Bayesian Measures of Model Complexity and Fit
• Markov chain Monte Carlo methods for stochastic volatility models.
• Inference with normal-gamma prior distributions in regression problems
• Sparse Bayesian infinite factor models
• The Bayesian Lasso
• Hierarchical shrinkage priors for regression models
• Parsimonious Covariance Matrix Estimation for Longitudinal Data
• Forecasting and conditional projection using realistic prior distributions
• Dirichlet-Laplace priors for optimal shrinkage
• Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
• Bayesian stochastic search for VAR model restrictions
• Real-time density forecasts from Bayesian vector autoregressions with stochastic volatility

Cited In (2)

• Variational Inference for Large Bayesian Vector Autoregressions
• Large Bayesian SVARs with linear restrictions

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