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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Detalhes bibliográficos

Principais autores:	Annalisa Cadonna, Sylvia Frühwirth-Schnatter, Peter Knaus
Formato:	Artigo
Idioma:	Inglês
Publicado em:	MDPI AG 2020-05-01
coleção:	Econometrics
Assuntos:	Bayesian model averaging horseshoe prior lasso prior sparsity stochastic volatility triple gamma prior
Acesso em linha:	https://www.mdpi.com/2225-1146/8/2/20
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