Search Results - subject:"Bayesian variable selection"

Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods

Hauzenberger, Niko; Huber, Florian; Koop, Gary - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 2, pp. 201-225

Persistent link: https://www.econbiz.de/10014631913

A flexible knot-based approach for modeling piecewise linear effects

Di Credico, Gioia; Pauli, Francesco; Torelli, Nicola - 2024

Persistent link: https://www.econbiz.de/10015047551

Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov Chain Monte Carlo Methods

Hauzenberger, Niko; Huber, Florian; Koop, Gary - 2023

Persistent link: https://www.econbiz.de/10014316037

Correlation scenarios and correlation stress testing

Packham, Natalie; Woebbeking, Fabian - 2021

country and industry factors. A sparse factor structure linking assets and risk factors is built using Bayesian variable … selection methods. Regular calibration yields a joint distribution of economically meaningful stress scenarios of the factors …

Persistent link: https://www.econbiz.de/10012592840

Correlation scenarios and correlation stress testing

Packham, Natalie; Wöbbeking, Carl Fabian - 2021

Persistent link: https://www.econbiz.de/10012588678

Bayesian model averaging using power-expected-posterior priors

Fouskakis, Dimitris; Ntzoufras, Ioannis - In: Econometrics 8 (2020) 2, pp. 1-15

variable selection under normal linear models. We derive a BMA point estimate of a predicted value, and present computation and …This paper focuses on the Bayesian model average (BMA) using the power-expected-posterior prior in objective Bayesian …

Persistent link: https://www.econbiz.de/10012696280

Bayesian model averaging using power-expected-posterior priors

Fouskakis, Dimitris; Ntzoufras, Ioannis - In: Econometrics : open access journal 8 (2020) 2/17, pp. 1-15

Persistent link: https://www.econbiz.de/10012265506

On the drivers of profitability in the banking industry in restructuring times : a Bayesian perspective

Cruz-García, Paula; Forte, Anabel; Peiró-Palomino, Jesús - In: Applied economic analysis : AEA 28 (2020) 83, pp. 111-131

Persistent link: https://www.econbiz.de/10012420506

Dynamic mixture-of-experts models for longitudinal and discrete-time survival data

Quiroz, Matias; Villani, Mattias - 2013

We propose a general class of flexible models for longitudinal data with special emphasis on discrete-time survival data. The model is a finite mixture model where the subjects are allowed to move between components through time. The time-varying probability of component memberships is modeled...

Persistent link: https://www.econbiz.de/10010320746

Dynamic mixture-of-experts models for longitudinal and discrete-time survival data

Quiroz, Matias; Villani, Mattias - Sveriges Riksbank - 2013

Persistent link: https://www.econbiz.de/10010818846