Código QR (código de barras bidimensional)

Triple the Gamma—A Unifying Shrinkage Prior for Variance and Variable Selection in Sparse State Space and TVP Models

Time-varying parameter (TVP) models are very flexible in capturing gradual changes in the effect of explanatory variables on the outcome variable. However, in particular when the number of explanatory variables is large, there is a known risk of overfitting and poor predictive performance, since the...

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Principais autores: Annalisa Cadonna, Sylvia Frühwirth-Schnatter, Peter Knaus
Format: Artigo
Sprog:Inglês
Udgivet: MDPI AG 2020-05-01
Serier:Econometrics
Fag:
Bayesian model averaging
horseshoe prior
lasso prior
sparsity
stochastic volatility
triple gamma prior
Online adgang:https://www.mdpi.com/2225-1146/8/2/20
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