Dynamic variable selection with spike-and-slab process priors

DOI10.1214/20-BA1199zbMath1480.62132arXiv1708.00085OpenAlexW3022723022MaRDI QIDQ2057381

Kenichiro McAlinn, Veronika Rockova

Publication date: 6 December 2021

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.00085

zbMATH Keywords

stationarityspike and slabdynamic sparsityautoregressive mixture processesMAP smoothing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Statistical ranking and selection procedures (62F07)

Related Items

Parsimony inducing priors for large scale state-space models ⋮ Bayesian Approaches to Shrinkage and Sparse Estimation ⋮ Incorporating grouping information into Bayesian Gaussian graphical model selection ⋮ BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS ⋮ Discussion of ``Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions

Uses Software

• bvarsv
• EMVS

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