Sparse Bayesian time-varying covariance estimation in many dimensions

30 August 2016

Papers citing "Sparse Bayesian time-varying covariance estimation in many dimensions"

7 / 7 papers shown

Title
Generalized Cumulative Shrinkage Process Priors with Applications to Sparse Bayesian Factor Analysis Sylvia Frühwirth-Schnatter 14 16 0 01 Mar 2023
High-Dimensional Conditionally Gaussian State Space Models with Missing Data J. Chan Aubrey Poon Dan Zhu 30 11 0 07 Feb 2023
Covariance Structure Estimation with Laplace Approximation Bongjung Sung Jaeyong Lee CML 22 1 0 04 Nov 2021
Dynamic sparsity on dynamic regression models Paloma W. Uribe H. Lopes 16 17 0 29 Sep 2020
Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol Darjus Hosszejni G. Kastner 19 50 0 28 Jun 2019
Efficient Bayesian inference for nonlinear state space models with univariate autoregressive state equation A. Kreuzer C. Czado 13 4 0 27 Feb 2019
Sparse Bayesian vector autoregressions in huge dimensions G. Kastner Florian Huber 35 92 0 11 Apr 2017