Parsimony inducing priors for large scale state-space models

DOI10.1016/j.jeconom.2021.11.005OpenAlexW3129837527MaRDI QIDQ2155306

Ruey S. Tsay, Robert E. McCulloch, Hedibert Freitas Lopes

Publication date: 15 July 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.11.005

zbMATH Keywords

parallel computingshrinkagesparsityBayesian modelingconditional heteroscedasticityforward filtering and backward sampling

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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