Achieving shrinkage in a time-varying parameter model framework
Year of publication: |
2019
|
---|---|
Authors: | Bitto, Angela ; Frühwirth-Schnatter, Sylvia |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 210.2019, 1, p. 75-97
|
Subject: | Bayesian inference | Bayesian Lasso | Double gamma prior | Hierarchical priors | Kalman filter | Log predictive density scores | Normal–gamma prior | Sparsity | State space model | Bayes-Statistik | Zustandsraummodell | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
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