Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise

DOI10.1016/J.CSDA.2016.03.007zbMath1466.62130OpenAlexW2326822721MaRDI QIDQ143154

Namgil Lee, Hyemi Choi, Sung-Ho Kim, Sung-Ho Kim, Namgil Lee, Hyemi Choi

Publication date: September 2016

Published in: Computational Statistics & Data Analysis, Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2016.03.007

zbMATH Keywords

consistencyGranger causalitycross validationmultivariate \(t\)-distributionscore functionpenalized least squares (PLS)

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian inference (62F15)

Related Items (2)

VARshrink ⋮ A new taxonomy for vector exponential smoothing and its application to seasonal time series

Uses Software

• GeneNet
• fdrtool
• BayesDA
• FinTS

Cites Work

• Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
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• Forecasting and conditional projection using realistic prior distributions
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Linear Model Selection by Cross-Validation
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Analysis of Financial Time Series
• The elements of statistical learning. Data mining, inference, and prediction
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