Search Results - subject:"Covariance selection"

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Causal vector autoregression enhanced with covariance and order selection

Bolla, Marianna; Ye, Dongze; Wang, Haoyu; Ma, Renyuan; … - In: Econometrics : open access journal 11 (2023) 1, pp. 1-30

matrix, then covariance selection is applied that assigns zeros to the corresponding path coefficients. Real …

Persistent link: https://www.econbiz.de/10014281492

Graphical Models of Structural Relations between Variables and their Application to Russian Regions (Part One)

Weinberg Allen, Anna - In: Applied Econometrics 10 (2008) 2, pp. 44-64

-phasis on Dempster covariance selection method in part one is followed in the second part by a description of a modi-fication of …

Persistent link: https://www.econbiz.de/10009366472

Graphical Methods of Structural Relations between Variables and their Application to Russian Regions (Part Two)

Weinberg Allen, Anna - In: Applied Econometrics 12 (2008) 4, pp. 42-70

) de-scription of a modification of Dempster covariance selection algorithm based on its combination with that of tree …

Persistent link: https://www.econbiz.de/10009366498

Bayesian Covariance Matrix Estimation using a Mixture of Decomposable Graphical Models

Armstrong, Helen; Carter, Christopher K.; Wong, Kevin K. F. - School of Economics, UNSW Business School - 2007

evaluate the prior apply generally to any decomposable graphical model. KEY WORDS: Covariance selection; Graphical models … gains in eﬃciency are possible. Dempster (1972) advocates a covariance selection approach to estimate a covariance matrix … the covariance matrix based on their selected graph. A number of articles take a Bayesian approach to covariance selection …

Persistent link: https://www.econbiz.de/10005135157