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: |
[Canberra] : Australian National University, Crawford School of Public Policy, Centre for Applied Macroeconomic Analysis |
| 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 |
freely available
| Extent: | 1 Online-Ressource (circa 29 Seiten) Illustrationen |
|---|---|
| Series: | CAMA working paper series. - Canberra : [Verlag nicht ermittelbar], ZDB-ID 2468679-7. - Vol. 2019, 8 (January 2019) |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012223665