Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods
Niko Hauzenberger, Florian Huber and Gary Koop
| Year of publication: |
2024
|
|---|---|
| Authors: | Hauzenberger, Niko ; Huber, Florian ; Koop, Gary |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 28.2024, 2, p. 201-225
|
| Subject: | Bayesian variable selection | dynamic shrinkage prior | global-local shrinkage prior | scalable Markov Chain Monte Carlo | time-varying parameter regression | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Bayes-Statistik | Bayesian inference | Schätztheorie | Estimation theory | Schätzung | Estimation | Regressionsanalyse | Regression analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2022-0077 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014631913