Inference in Bayesian additive vector autoregressive tree models

DOI10.1214/21-AOAS1488zbMath1498.62309arXiv2006.16333OpenAlexW3040075297MaRDI QIDQ2135338

Luca Rossini, Florian Huber

Publication date: 6 May 2022

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.16333

zbMATH Keywords

nonparametric regressiondecision treesvector autoregressionsBayesian additive regression treesBAVART

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Economic time series analysis (91B84)

Related Items (1)

TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES

Uses Software

• AdaBoost.MH
• BART-BMA
• BartPy
• XBART

Cites Work

• Unnamed Item
• Unnamed Item
• Greedy function approximation: A gradient boosting machine.
• BART: Bayesian additive regression trees
• Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
• Forecasting the term structure of government bond yields
• Beta-product dependent Pitman-Yor processes for Bayesian inference
• Impulse response analysis in nonlinear multivariate models
• A decision-theoretic generalization of on-line learning and an application to boosting
• Bayesian additive regression trees using Bayesian model averaging
• Bayesian nonparametric vector autoregressive models
• Bayesian compressed vector autoregressions
• Bayesian regression tree models for causal inference: regularization, confounding, and heterogeneous effects (with discussion)
• Corrigendum to ``Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
• Bayesian nonparametric sparse VAR models
• Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
• Automated versus do-it-yourself methods for causal inference: lessons learned from a data analysis competition
• The nonlinear effects of uncertainty shocks
• Bayesian Treed Gaussian Process Models With an Application to Computer Modeling
• Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility
• Heteroscedastic BART via Multiplicative Regression Trees
• Bayesian Nonparametrics
• The Impact of Uncertainty Shocks
• Bayesian inference on structural impulse response functions
• Forecasting and conditional projection using realistic prior distributions
• Bayesian Regression Trees for High-Dimensional Prediction and Variable Selection
• Prediction with missing data via Bayesian Additive Regression Trees
• Random forests
• Bayesian treed models

This page was built for publication: Inference in Bayesian additive vector autoregressive tree models