Triple the Gamma—A Unifying Shrinkage Prior for Variance and Variable Selection in Sparse State Space and TVP Models

DOI10.3390/econometrics8020020MaRDI QIDQ89537

Sylvia Frühwirth-Schnatter, Peter Knaus, Annalisa Cadonna

Publication date: 20 May 2020

Published in: Econometrics (Search for Journal in Brave)

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shrinkDSM, shrinkTVP