Sparse Bayesian vector autoregressions in huge dimensions

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Sparse Bayesian vector autoregressions in huge dimensions

11 April 2017

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Papers citing "Sparse Bayesian vector autoregressions in huge dimensions"

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Title
High-Dimensional Conditionally Gaussian State Space Models with Missing Data J. Chan Aubrey Poon Dan Zhu 55 13 0 07 Feb 2023
Efficient variational approximations for state space models Rubén Loaiza-Maya D. Nibbering 35 1 0 20 Oct 2022
The Variational Bayesian Inference for Network Autoregression Models Wei Lai Ray-Bing Chen Ying Chen Thorsten Koch 36 0 0 18 Feb 2021
Inference in Bayesian Additive Vector Autoregressive Tree Models Florian Huber Luca Rossini 63 23 0 29 Jun 2020
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
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
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 57 8 0 01 Nov 2017
Sparse Bayesian time-varying covariance estimation in many dimensions G. Kastner 60 102 0 30 Aug 2016