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Bayesian structure selection for vector autoregression model
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1002/jae.2504openalex-snapshot
Forecasting with Global Vector Autoregressive Models: a Bayesian Approach
inferredcites →https://doi.org/10.1007/s00439-008-0852-9openalex-snapshot
Bayesian constrained variable selection
inferredcites →https://doi.org/10.1007/s11222-009-9165-4openalex-snapshot
Stochastic matching pursuit for Bayesian variable selection
inferredcites →https://doi.org/10.1016/0304-4076(95)01763-1openalex-snapshot
Nonparametric regression using Bayesian variable selection
inferredcites →https://doi.org/10.1016/j.csda.2007.12.004openalex-snapshot
Subset selection for vector autoregressive processes using Lasso
inferredcites →https://doi.org/10.1016/j.ecosta.2017.01.003openalex-snapshot
Volatility forecasting using global stochastic financial trends extracted from non-synchronous data
inferredcites →https://doi.org/10.1016/j.euroecorev.2015.01.009openalex-snapshot
The international transmission of US shocks—Evidence from Bayesian global vector autoregressions
inferredcites →https://doi.org/10.1016/j.jeconom.2007.08.017openalex-snapshot
Bayesian stochastic search for VAR model restrictions
inferredcites →https://doi.org/10.1016/j.jempfin.2016.11.007openalex-snapshot
Relation between higher order comoments and dependence structure of equity portfolio
inferredcites →https://doi.org/10.1016/j.najef.2015.03.005openalex-snapshot
Time-varying dependence between stock and government bond returns: International evidence with dynamic copulas
inferredcites →https://doi.org/10.1017/s0266466614000607openalex-snapshot
HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE
inferredcites →https://doi.org/10.1038/srep04589openalex-snapshot
Dependency structure and scaling properties of financial time series are related
inferredcites →https://doi.org/10.1080/01621459.1993.10476353openalex-snapshot
Variable Selection Via Gibbs Sampling
inferredcites →https://doi.org/10.1080/01621459.1994.10476829openalex-snapshot
The Collapsed Gibbs Sampler in Bayesian Computations with Applications to a Gene Regulation Problem
inferredcites →https://doi.org/10.1080/10618600.2015.1041636openalex-snapshot
Bayesian Sparse Group Selection
inferredcites →https://doi.org/10.1093/oso/9780198523567.003.0039openalex-snapshot
Variable Selection and Model Comparison in Regression
inferredcites →https://doi.org/10.1109/tem.2013.2284386openalex-snapshot
Divide and Conquer? ${k}$-Means Clustering of Demand Data Allows Rapid and Accurate Simulations of the British Electricity System
inferredcites →https://doi.org/10.1111/j.1467-9868.2005.00532.xopenalex-snapshot
Model Selection and Estimation in Regression with Grouped Variables
inferredcites →https://doi.org/10.1111/j.1467-9868.2009.00736.xopenalex-snapshot
Particle Markov Chain Monte Carlo Methods
inferredcites →https://doi.org/10.1111/j.1467-9876.2006.00535.xopenalex-snapshot
Best Subset Selection of Autoregressive Models with Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors
inferredcites →https://doi.org/10.1111/j.2517-6161.1996.tb02080.xopenalex-snapshot
Regression Shrinkage and Selection Via the Lasso
inferredcites →https://doi.org/10.1162/003465300559037openalex-snapshot
The Generalized Dynamic-Factor Model: Identification and Estimation
inferredcites →https://doi.org/10.1198/016214501753382273openalex-snapshot
Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
inferredcites →https://doi.org/10.1198/016214504000002050openalex-snapshot
The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting
inferredcites →https://doi.org/10.1198/016214506000000492openalex-snapshot
Fixed-Width Output Analysis for Markov Chain Monte Carlo
inferredcites →https://doi.org/10.1198/073500102288618487openalex-snapshot
Dynamic Conditional Correlation
inferredcites →https://doi.org/10.1198/jcgs.2009.08108openalex-snapshot
Partially Collapsed Gibbs Samplers: Illustrations and Applications
inferredcites →https://doi.org/10.1214/009053604000000238openalex-snapshot
Optimal predictive model selection
inferredcites →https://doi.org/10.1214/08-sts257openalex-snapshot
Markov Chain Monte Carlo: Can We Trust the Third Significant Figure?
inferredcites →https://doi.org/10.1214/09-aos729openalex-snapshot
Nearly unbiased variable selection under minimax concave penalty
inferredcites →https://doi.org/10.1515/9781400830190openalex-snapshot
Anticipating Correlations: A New Paradigm for Risk Management
inferredcites →https://doi.org/10.21034/wp.115openalex-snapshot
Techniques of Forecasting Using Vector Autoregressions
inferredcites →https://doi.org/10.2307/1271501openalex-snapshot
A Bayesian Variable-Selection Approach for Analyzing Designed Experiments With Complex Aliasing
inferredcites →https://doi.org/10.2307/3315687openalex-snapshot
Bayesian variable selection with related predictors
inferredcites →https://doi.org/10.4310/sii.2013.v6.n2.a9openalex-snapshot
Bayesian variable selection in quantile regression
inferredcites →https://doi.org/10.48550/arxiv.1001.0736openalex-snapshot
A note on the group lasso and a sparse group lasso
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
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inferred← citeshttps://doi.org/10.1002/wics.1513openalex-snapshot
A review of Bayesian group selection approaches for linear regression models
inferred← citeshttps://doi.org/10.1016/j.csda.2021.107406openalex-snapshot
Variational Bayesian inference for network autoregression models
inferred← citeshttps://doi.org/10.1016/j.csda.2025.108233openalex-snapshot
Bayesian selection approach for categorical responses via multinomial probit models
inferred← citeshttps://doi.org/10.1016/j.ijforecast.2024.06.002openalex-snapshot
A modified VAR-deGARCH model for asynchronous multivariate financial time series via variational Bayesian inference
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inferred← citeshttps://doi.org/10.1080/23311916.2024.2368104openalex-snapshot
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inferred← citeshttps://doi.org/10.1155/2020/7916496openalex-snapshot
Impact of the Adjustment of Maximum Order Volume on Pricing Efficiency of Stock Index Futures in China
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Road freight transport in Spain, 2012–2024: a mixed-methods assessment with SARIMA forecasts
inferred← citeshttps://doi.org/10.1371/journal.pone.0255422openalex-snapshot
A network autoregressive model with GARCH effects and its applications
inferred← citeshttps://doi.org/10.48550/arxiv.2102.09232openalex-snapshot
The Variational Bayesian Inference for Network Autoregression Models
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