How sensitive are VAR forecasts to prior hyperparameters? : an automated sensitivity analysis
Joshua C.C. Chan, Liana Jacobi and Dan Zhu
| Alternative title: | Howe sensitive are vector autoregressions forecasts to prior hyperparameters? |
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| Year of publication: |
2019
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| Authors: | Chan, Joshua ; Jacobi, Liana ; Zhu, Dan |
| Published in: |
Topics in identification, limited dependent variables, partial observability, experimentation, and flexible modelling ; Part A. - Bingley, UK : Emerald Publishing, ISBN 978-1-78973-242-9. - 2019, p. 229-248
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| Subject: | Vector autoregression | automatic differentation | interval forecasts | model comparison | sensitivity analysis | prior robustness | VAR-Modell | VAR model | Sensitivitätsanalyse | Sensitivity analysis | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Bayes-Statistik | Bayesian inference | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1108/S0731-90532019000040A010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012244156