Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
Deborah Gefang, Gary Koop, Aubrey Poon
Topics & Concepts
Prior probabilityStochastic volatilityEconometricsBayesian probabilityBayesian inferenceInferenceShrinkage estimatorComputer scienceBayesian vector autoregressionRange (aeronautics)ShrinkageVolatility (finance)EconomicsMachine learningArtificial intelligenceMathematicsStatisticsEstimatorComposite materialBias of an estimatorMaterials scienceMinimum-variance unbiased estimatorStatistical Methods and InferenceMonetary Policy and Economic ImpactBayesian Methods and Mixture Models