Adaptive variable selection for sequential prediction in multivariate dynamic models
From MaRDI portal
Publication:6198360
DOI10.1214/20-ba1245arXiv1906.06580OpenAlexW3091253257MaRDI QIDQ6198360
Isaac Lavine, Michael Lindon, Mike West
Publication date: 21 February 2024
Published in: Bayesian Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1906.06580
decision analysismodel averagingBayesian forecastingdynamic linear modelsmacroeconomic forecastingshotgun stochastic searchdynamic dependency network modelsGibbs model probabilitiesmodel structure uncertainty
Cites Work
- Scaling it up: stochastic search structure learning in graphical models
- GPU-accelerated Bayesian learning and forecasting in simultaneous graphical dynamic linear models
- Bayesian forecasting and dynamic models.
- From \(\varepsilon\)-entropy to KL-entropy: analysis of minimum information complexity density estima\-tion
- Gibbs posterior for variable selection in high-dimensional classification and data mining
- Bayesian forecasting and dynamic models
- Using stacking to average Bayesian predictive distributions (with discussion)
- Dynamics \& sparsity in latent threshold factor models: a study in multivariate EEG signal processing
- Dynamic Bayesian predictive synthesis in time series forecasting
- Bayesian emulation for multi-step optimization in decision problems
- Reply to discussion of ``Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions
- Generalised density forecast combinations
- Experiments in stochastic computation for high-dimensional graphical models
- Large time-varying parameter VARs
- Information-theoretic upper and lower bounds for statistical estimation
- Monitoring and Adaptation in Bayesian Forecasting Models
- Dynamic dependence networks: Financial time series forecasting and portfolio decisions
- Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting
- Priors for the Long Run
- Shotgun Stochastic Search for “Largep” Regression
- Decoupling Shrinkage and Selection in Bayesian Linear Models: A Posterior Summary Perspective
- A General Framework for Updating Belief Distributions
- Time Varying Structural Vector Autoregressions and Monetary Policy
- Unnamed Item
- Unnamed Item
