BVAR: Bayesian Vector Autoregressions with Hierarchical Prior Selection in R
Vector autoregression (VAR) models are widely used for multivariate time series analysis in macroeconomics, finance, and related fields. Bayesian methods are often employed to deal with their dense parameterization, imposing structure on model coefficients via prior information. The optimal choice o...
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| Главные авторы: | , |
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| Формат: | Artigo |
| Язык: | Inglês |
| Опубликовано: |
Foundation for Open Access Statistics
2021-11-01
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| Серии: | Journal of Statistical Software |
| Предметы: | |
| Online-ссылка: | https://www.jstatsoft.org/index.php/jss/article/view/3832 |
| Метки: |
Нет меток, Требуется 1-ая метка записи!
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