Sparse Bayesian time-varying covariance estimation in many dimensions

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Sparse Bayesian time-varying covariance estimation in many dimensions

30 August 2016

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Papers citing "Sparse Bayesian time-varying covariance estimation in many dimensions"

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Title
Generalized Cumulative Shrinkage Process Priors with Applications to Sparse Bayesian Factor Analysis Sylvia Frühwirth-Schnatter 47 16 0 01 Mar 2023
High-Dimensional Conditionally Gaussian State Space Models with Missing Data J. Chan Aubrey Poon Dan Zhu 55 13 0 07 Feb 2023
A Bayesian Survival Model for Time-Varying Coefficients and Unobserved Heterogeneity Peter Knaus Daniel T. Winkler G. Jomrich 139 1 0 22 Jun 2022
Covariance Structure Estimation with Laplace Approximation Bongjung Sung Jaeyong Lee CML 56 1 0 04 Nov 2021
Dynamic sparsity on dynamic regression models Paloma W. Uribe H. Lopes 23 17 0 29 Sep 2020
Shrinkage with shrunken shoulders: Gibbs sampling shrinkage model posteriors with guaranteed convergence rates A. Nishimura M. Suchard 110 9 0 06 Nov 2019
Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol Darjus Hosszejni G. Kastner 54 51 0 28 Jun 2019
Bayesian prediction of jumps in large panels of time series data Angelos N. Alexopoulos P. Dellaportas O. Papaspiliopoulos AI4TS 79 5 0 28 Mar 2019
Efficient Bayesian inference for nonlinear state space models with univariate autoregressive state equation A. Kreuzer C. Czado 42 5 0 27 Feb 2019
Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo A. Kreuzer C. Czado 25 9 0 26 Aug 2018
Sparse Bayesian vector autoregressions in huge dimensions G. Kastner Florian Huber 73 95 0 11 Apr 2017