High-Dimensional Posterior Consistency in Bayesian Vector Autoregressive Models
Sign Up to like & getrecommendations! Published in 2019 at "Journal of the American Statistical Association"
DOI: 10.1080/01621459.2018.1437043
Abstract: ABSTRACT Vector autoregressive (VAR) models aim to capture linear temporal interdependencies among multiple time series. They have been widely used in macroeconomics and financial econometrics and more recently have found novel applications in functional genomics… read more here.
Keywords: vector autoregressive; posterior consistency; model; high dimensional ... See more keywords