Bayesian sparse seemingly unrelated regressions model with variable selection and covariance estimation via the horseshoe+

DOI10.1007/s42952-023-00217-4MaRDI QIDQ6080791

Dongu Han, Taeryon Choi, Daeyoung Lim

Publication date: 4 October 2023

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

zbMATH Keywords

variational BayesGaussian graphical modelvector autoregressionglobal-local shrinkagehigh-dimensional sparse regressionKullback-Leibler risk bound

Mathematics Subject Classification ID

Statistics (62-XX)

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