Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
Deborah Gefang, Gary Koop, Aubrey Poon
| Year of publication: |
2023
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| Authors: | Gefang, Deborah ; Koop, Gary ; Poon, Aubrey |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 39.2023, 1, p. 346-363
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| Subject: | Forecasting | Hierarchical prior | Stochastic volatility | Variational inference | Vector autoregression | VAR-Modell | VAR model | Bayes-Statistik | Bayesian inference | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Volatilität | Volatility | Induktive Statistik | Statistical inference | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2021.11.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014462786