Bayesian nonparametric vector autoregressive models
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2017.11.009
Abstract: Vector autoregressive (VAR) models are the main work-horse models for macroeconomic forecasting, and provide a framework for the analysis of complex dynamics that are present between macroeconomic variables. Whether a classical or a Bayesian approach… read more here.
Keywords: bayesian nonparametric; model; var models; vector autoregressive ... See more keywords
Qualitative versus quantitative external information for proxy vector autoregressive analysis
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Economic Dynamics and Control"
DOI: 10.1016/j.jedc.2021.104118
Abstract: Abstract A major challenge for proxy vector autoregressive analysis is the construction of a suitable external instrument variable or proxy for identifying a shock of interest. Some authors construct sophisticated proxies that account for the… read more here.
Keywords: proxy vector; proxy; vector autoregressive; autoregressive analysis ... See more keywords
Measuring the role of factors on website effectiveness using vector autoregressive model
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Retailing and Consumer Services"
DOI: 10.1016/j.jretconser.2021.102656
Abstract: Abstract Behavioral actions of online customers play an important role in influencing the website's effectiveness for online retailers and online business entities. The leading web analytics software measures the customers' behavior on a website using… read more here.
Keywords: role; goal; website effectiveness; rate ... See more keywords
Online learning for vector autoregressive moving-average time series prediction
Sign Up to like & getrecommendations! Published in 2018 at "Neurocomputing"
DOI: 10.1016/j.neucom.2018.04.011
Abstract: Abstract Multivariate time series analysis considers simultaneously multiple time series, which is much more complicated than the univariate time series analysis in general. VARMA (vector autoregressive moving-average) is one of the most mainstream multivariate time… read more here.
Keywords: vector autoregressive; series prediction; time; time series ... See more keywords
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
Hypertension Monitoring by a Real Time Management System for Patients in Community and Its Data Mining by Vector Autoregressive Model
Sign Up to like & getrecommendations! Published in 2023 at "IEEE Access"
DOI: 10.1109/access.2023.3240084
Abstract: Blood pressure has a 24-hour repetitive and regular variation which shows circadian rhythm. Using the multivariate time series analysis method of vector autoregressive model, we could realize the simultaneous prediction for both systolic and diastolic… read more here.
Keywords: blood; vector autoregressive; blood pressure; autoregressive model ... See more keywords
Nonlinear Structural Vector Autoregressive Models With Application to Directed Brain Networks
Sign Up to like & getrecommendations! Published in 2019 at "IEEE Transactions on Signal Processing"
DOI: 10.1109/tsp.2019.2940122
Abstract: Structural equation models (SEMs) and vector autoregressive models (VARMs) are two broad families of approaches that have been shown useful in effective brain connectivity studies. While VARMs postulate that a given region of interest in… read more here.
Keywords: time; structural vector; autoregressive models; vector autoregressive ... See more keywords
Economic Policy Uncertainty and International Tourism Demand: A Global Vector Autoregressive Approach
Sign Up to like & getrecommendations! Published in 2022 at "Journal of Travel Research"
DOI: 10.1177/00472875211072551
Abstract: In a globalized environment, a major shock or event can reverberate across tourism interdependent countries over time. This paper aims to empirically examine how economic policy uncertainty (EPU) emanating from a large country may influence… read more here.
Keywords: vector autoregressive; global vector; economic policy; tourism demand ... See more keywords