Achieving shrinkage in a time-varying parameter model framework

DOI10.1016/j.jeconom.2018.11.006zbMath1452.62216arXiv1611.01310OpenAlexW2962886695WikidataQ128960330 ScholiaQ128960330MaRDI QIDQ89526

Sylvia Frühwirth-Schnatter, Angela Bitto, Angela Bitto, Sylvia Frühwirth-Schnatter

Publication date: May 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.01310

zbMATH Keywords

Kalman filterBayesian inferencestate space modelsparsityhierarchical priorsBayesian Lassonormal-gamma priordouble gamma priorlog predictive density scores

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian inference (62F15)

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Uses Software

• CODA
• bvarsv
• stochvol
• GIGrvg

Cites Work

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