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  • Search: subject:"Bayesian Lasso"
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Year of publication
Subject
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Bayesian Lasso 12 Bayes-Statistik 6 Bayesian inference 6 Forecasting 5 hierarchical prior 5 shrinkage 5 time-varying parameters 5 Bayesian LASSO 4 Estimation 4 Estimation theory 4 Schätztheorie 4 Schätzung 4 Shrinkage 3 VAR model 3 VAR-Modell 3 Variable selection 3 factor model 3 forecasting 3 variable selection 3 Forecasting model 2 Markov chain 2 Markov-Kette 2 Modellierung 2 Prognoseverfahren 2 Scientific modelling 2 State space model 2 Stochastic process 2 Stochastischer Prozess 2 Time series analysis 2 Zeitreihenanalyse 2 Zustandsraummodell 2 fiscal policy 2 Bass model 1 Bayesian Elastic Net 1 Bayesian lasso 1 Double gamma prior 1 Factor model 1 Finanzpolitik 1 Fiscal policy 1 Generalized linear mixed model 1
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Online availability
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Free 9 Undetermined 6
Type of publication
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Book / Working Paper 9 Article 8
Type of publication (narrower categories)
All
Article in journal 5 Aufsatz in Zeitschrift 5 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 9 Undetermined 8
Author
All
Korobilis, Dimitris 6 Eisenstat, Eric 3 Koop, Gary 3 Strachan, Rodney W. 3 Belmonte, Miguel A. G. 2 Chan, Joshua 2 KOROBILIS, Dimitris 2 BELMONTE, Miguel A.G. 1 Baragatti, M. 1 Belmonte, Miguel 1 Bitto, Angela 1 Chan, Joshua C.C. 1 Dimitris, Korobilis 1 Frühwirth-Schnatter, Sylvia 1 Gallant, A. Ronald 1 Gary, Koop 1 Gelper, Sarah 1 Hong, Han 1 KOOP, Gary 1 Leng, Chenlei 1 Leung, Michael P. 1 Li, Jessie 1 Miguel, Belmonte 1 Nott, David 1 Pommeret, D. 1 Stremersch, Stefan 1 Tran, Minh-Ngoc 1
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Institution
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 2 Rimini Centre for Economic Analysis (RCEA) 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Crawford School of Public Policy, Australian National University 1 Economics Department, University of Strathclyde 1
Published in...
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CORE Discussion Papers 2 Journal of econometrics 2 MPRA Paper 2 Working Paper Series / Rimini Centre for Economic Analysis (RCEA) 2 Annals of the Institute of Statistical Mathematics 1 CAMA Working Papers 1 CAMA working paper series 1 Computational Statistics & Data Analysis 1 Econometric reviews 1 International Journal of Forecasting 1 International journal of research in marketing : IJRM ; official journal of the European Marketing Academy 1 Journal of forecasting 1 Working Papers / Economics Department, University of Strathclyde 1
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Source
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RePEc 11 ECONIS (ZBW) 6
Showing 1 - 10 of 17
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Constrained estimation using penalization and MCMC
Gallant, A. Ronald; Hong, Han; Leung, Michael P.; Li, Jessie - In: Journal of econometrics 228 (2022) 1, pp. 85-106
Persistent link: https://www.econbiz.de/10013441728
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Stochastic model specification search for time-varying parameter VARs
Eisenstat, Eric; Chan, Joshua; Strachan, Rodney W. - 2014
Persistent link: https://www.econbiz.de/10010348808
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Stochastic Model Specification Search for Time-Varying Parameter VARs
Eisenstat, Eric; Chan, Joshua C.C.; Strachan, Rodney W. - Crawford School of Public Policy, Australian National … - 2014
This article develops a new econometric methodology for performing stochastic model specification search (SMSS) in the vast model space of time-varying parameter VARs with stochastic volatility and correlated state transitions. This is motivated by the concern of over-fitting and the typically...
Persistent link: https://www.econbiz.de/10010904327
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Achieving shrinkage in a time-varying parameter model framework
Bitto, Angela; Frühwirth-Schnatter, Sylvia - In: Journal of econometrics 210 (2019) 1, pp. 75-97
Persistent link: https://www.econbiz.de/10012303379
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Hierarchical Shrinkage in Time-Varying Parameter Models
Belmonte, Miguel A. G.; Koop, Gary; Korobilis, Dimitris - Rimini Centre for Economic Analysis (RCEA) - 2011
shrinkage. In constant coefficient regression models, the Bayesian Lasso is gaining increasing popularity as an effective tool … for achieving such shrinkage. In this paper, we develop econometric methods for using the Bayesian Lasso with time …
Persistent link: https://www.econbiz.de/10009142666
Saved in:
Cover Image
Hierarchical shrinkage in time-varying parameter models
Miguel, Belmonte; Gary, Koop; Dimitris, Korobilis - Volkswirtschaftliche Fakultät, … - 2011
shrinkage. In constant coefficient regression models, the Bayesian Lasso is gaining increasing popularity as an effective tool … for achieving such shrinkage. In this paper, we develop econometric methods for using the Bayesian Lasso with time …
Persistent link: https://www.econbiz.de/10009147878
Saved in:
Cover Image
Hierarchical Shrinkage Priors for Dynamic Regressions with Many Predictors
Korobilis, Dimitris - Rimini Centre for Economic Analysis (RCEA) - 2011
This paper builds on a simple unified representation of shrinkage Bayes estimators based on hierarchical Normal-Gamma priors. Various popular penalized least squares estimators for shrinkage and selection in regression models can be recovered using this single hierarchical Bayes formulation....
Persistent link: https://www.econbiz.de/10009000949
Saved in:
Cover Image
Hierarchical shrinkage priors for dynamic regressions with many predictors
Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2011
This paper builds on a simple unified representation of shrinkage Bayes estimators based on hierarchical Normal-Gamma priors. Various popular penalized least squares estimators for shrinkage and selection in regression models can be recovered using this single hierarchical Bayes formulation....
Persistent link: https://www.econbiz.de/10009004835
Saved in:
Cover Image
Hierarchical Shrinkage in Time-Varying Parameter Models
Belmonte, Miguel; Koop, Gary; Korobilis, Dimitris - Economics Department, University of Strathclyde - 2011
shrinkage. In constant coefficient regression models, the Bayesian Lasso is gaining increasing popularity as an effective tool … for achieving such shrinkage. In this paper, we develop econometric methods for using the Bayesian Lasso with time …
Persistent link: https://www.econbiz.de/10009653403
Saved in:
Cover Image
Hierarchical shrinkage priors for dynamic regressions with many predictors
KOROBILIS, Dimitris - Center for Operations Research and Econometrics (CORE), … - 2011
This paper builds on a simple unified representation of shrinkage Bayes estimators based on hierarchical Normal-Gamma priors. Various popular penalized least squares estimators for shrinkage and selection in regression models can be recovered using this single hierarchical Bayes formulation....
Persistent link: https://www.econbiz.de/10010610451
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