Variational Bayes inference in high-dimensional time-varying parameter models

This paper proposes a mean field variational Bayes algorithm for efficient posterior and predictive inference in time-varying parameter models. Our approach involves: i) computationally trivial Kalman filter updates of regression coefficients, ii) a dynamic variable selection prior that removes irre...

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Bibliographic details
Main Author: Koop, Gary
Korobilis, Dimitris
Format: Publication
Language: English
Place of publication: 15.07.2018
Data of publication: 2018-07-15
Discipline: Statistics
Subjects:
Online Access: available in Bonn?
Database: OpenAIRE
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