Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage
Deborah Gefang, Gary Koop, Aubrey Poon
| Year of publication: |
[2019]
|
|---|---|
| Authors: | Gefang, Deborah ; Koop, Gary ; Poon, Aubrey |
| Publisher: |
[Leicester, United Kingdom] : University of Leicester, School of Business |
| Subject: | Variational inference | Vector Autoregression | Stochastic Volatility | Hierarchical Prior | Forecasting | Bayes-Statistik | Bayesian inference | VAR-Modell | VAR model | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Schätztheorie | Estimation theory | Börsenkurs | Share price | Induktive Statistik | Statistical inference | Zeitreihenanalyse | Time series analysis |
freely available
| Extent: | 1 Online-Ressource (circa 64 Seiten) Illustrationen |
|---|---|
| Series: | Working paper. - Leicester : University of Leicester, School of Business, Economics Division, ZDB-ID 2873958-9. - Vol. no. 19, 05 (May 2019) |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012115020