Variational Inference for Large Bayesian Vector Autoregressions

DOI10.1080/07350015.2023.2290716MaRDI QIDQ6626273zbMATH OpenFDO

Authors Mauro Bernardi, Daniele Bianchi

Publication date 28 October 2024

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/07350015.2023.2290716

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• A new approach to Cholesky-based covariance regularization in high dimensions
• A New Parametrization of Correlation Matrices
• Adaptive Shrinkage in Bayesian Vector Autoregressive Models
• Bayesian adaptive Lasso
• Comment on ``Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
• Corrigendum to ``Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
• Decoupling shrinkage and selection in Bayesian linear models: a posterior summary perspective
• Explaining variational approximations
• Fast and accurate variational inference for large Bayesian VARs with stochastic volatility
• Inducing Sparsity and Shrinkage in Time-Varying Parameter Models
• Inference with normal-gamma prior distributions in regression problems
• Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
• Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models
• Mean field variational Bayes for elaborate distributions
• Optimal asset allocation with multivariate Bayesian dynamic linear models
• The Bayesian Lasso
• The horseshoe estimator for sparse signals

Cited in

(1)

• Efficient Importance Variational Approximations for State Space Models

This page was built for publication: Variational Inference for Large Bayesian Vector Autoregressions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6626273)