Achieving Shrinkage in a Time-Varying Parameter Model Framework

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Achieving Shrinkage in a Time-Varying Parameter Model Framework

4 November 2016

Sylvia Fruhwirth-Schnatter

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Papers citing "Achieving Shrinkage in a Time-Varying Parameter Model Framework"

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Title
A Structural Text-Based Scaling Model for Analyzing Political Discourse Jan Vávra Bernd Hans-Konrad Prostmaier Bettina Grün Paul Hofmarcher 27 1 0 14 Oct 2024
The ARR2 prior: flexible predictive prior definition for Bayesian auto-regressions David Kohns Noa Kallioinen Yann McLatchie Aki Vehtari 69 1 0 30 May 2024
Bayesian Nonlinear Regression using Sums of Simple Functions Florian Huber 49 1 0 04 Dec 2023
A Bayesian Survival Model for Time-Varying Coefficients and Unobserved Heterogeneity Peter Knaus Daniel T. Winkler G. Jomrich 147 1 0 22 Jun 2022
General Bayesian time-varying parameter VARs for predicting government bond yields M. Fischer Niko Hauzenberger Florian Huber Michael Pfarrhofer 24 0 0 26 Feb 2021
Deep Distributional Time Series Models and the Probabilistic Forecasting of Intraday Electricity Prices Nadja Klein M. Smith David J. Nott BDL AI4TS 54 27 0 05 Oct 2020
Dynamic sparsity on dynamic regression models Paloma W. Uribe H. Lopes 23 17 0 29 Sep 2020
Inference in Bayesian Additive Vector Autoregressive Tree Models Florian Huber Luca Rossini 73 23 0 29 Jun 2020
Bayesian forecasting of multivariate time series: Scalability, structure uncertainty and decisions M. West BDL AI4TS 73 46 0 21 Nov 2019
Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models Niko Hauzenberger Florian Huber Gary Koop Luca Onorante AI4TS 91 37 0 23 Oct 2019
Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP Peter Knaus Angela Bitto-Nemling A. Cadonna Sylvia Fruhwirth-Schnatter 106 22 0 16 Jul 2019
Horseshoe Regularization for Machine Learning in Complex and Deep Models A. Bhadra J. Datta Yunfan Li Nicholas G. Polson 87 15 0 24 Apr 2019
Bayesian dynamic variable selection in high dimensions Gary Koop Dimitris Korobilis 57 39 0 09 Sep 2018
Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs? Martin Feldkircher Luis Gruber Florian Huber G. Kastner 68 8 0 01 Nov 2017
Sparse Bayesian vector autoregressions in huge dimensions G. Kastner Florian Huber 76 95 0 11 Apr 2017
Sparse Bayesian time-varying covariance estimation in many dimensions G. Kastner 70 102 0 30 Aug 2016
Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models Florian Huber G. Kastner Martin Feldkircher 52 43 0 15 Jul 2016