Variational inference for large Bayesian vector autoregressions
Year of publication: |
2024
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Authors: | Bernardi, Mauro ; Bianchi, Daniele ; Bianco, Nicolas |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 42.2024, 3, p. 1066-1082
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Subject: | Bayesian methods | Hierarchical shrinkage prior | High-dimensional models | Industry returns predictability | Variational inference | Vector autoregressions | VAR-Modell | VAR model | Bayes-Statistik | Bayesian inference | Prognoseverfahren | Forecasting model | Induktive Statistik | Statistical inference | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
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