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 \| VAR-Modell \| VAR model \| Bayes-Statistik \| Bayesian inference \| Schätztheorie \| Estimation theory \| Prognoseverfahren \| Forecasting model \| Volatilität \| Volatility \| Induktive Statistik \| Statistical inference \| Zeitreihenanalyse \| Time series analysis \| Schätzung \| Estimation

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