Cross-entropy method for estimation of posterior expectation in Bayesian VAR models (Q4605269)
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scientific article; zbMATH DE number 6841813
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Cross-entropy method for estimation of posterior expectation in Bayesian VAR models |
scientific article; zbMATH DE number 6841813 |
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Cross-entropy method for estimation of posterior expectation in Bayesian VAR models (English)
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21 February 2018
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Bayesian vector autoregressive model
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cross-entropy
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importance sampling
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independent normal-Wishart prior
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multistep forecasting
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