Bayesian Nonparametric Sparse Vector Autoregressive Models

DOI10.1007/978-3-319-89824-7_29zbMath1397.62297OpenAlexW2729798415MaRDI QIDQ4689048

Roberto Casarin, Luca Rossini, Monica Billio

Publication date: 12 October 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-89824-7_29

zbMATH Keywords

Bayesian nonparametricsBayesian model selectionshrinkageseemingly unrelated regression (SUR)large vector autoregression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• Predicting the present with Bayesian structural time series
• Dependent mixtures of Dirichlet processes
• The Bayesian Lasso
• Bayesian Analysis of the Two-Parameter Gamma Distribution
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias

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