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Bayesian High-Dimensional Regression for Change Point Analysis

In many econometrics applications, the dataset under investigation spans heterogeneous regimes that are more appropriately modeled using piece-wise components for each of the data segments separated by change-points. We consider using Bayesian high-dimensional shrinkage priors in a change point sett...

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Bibliografiske detaljer
Udgivet i:Stat Interface
Main Authors: Datta, Abhirup, Zou, Hui, Banerjee, Sudipto
Format: Artigo
Sprog:Inglês
Udgivet: 2019
Fag:
Online adgang:https://ncbi.nlm.nih.gov/pmc/articles/PMC6753958/
https://ncbi.nlm.nih.gov/pubmed/31543930
https://ncbi.nlm.nih.govhttp://dx.doi.org/10.4310/SII.2019.v12.n2.a6
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