Bayesian estimation of cluster covariance matrices of unknown form-Reference-Cited by-同舟云学术

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Bayesian estimation of cluster covariance matrices of unknown form

Published:2024-04 Issue:1 Volume:241 Page:105725
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Creal Drew,Kim Jaeho

Publisher

Elsevier BV

Reference43 articles.

1. Bayesian dynamic factor models and portfolio allocation;Aguilar;J. Bus. Econom. Statist.,2000

2. A canonical representation of block matrices with applications to covariance and correlation matrices;Archakov;Rev. Econ. Stat.,2022

3. Large Bayesian vector autoregressions;Bańbura;J. Appl. Econometrics,2010

4. Product partition models for change point problems;Barry;Ann. Statist.,1992

5. Random partition models for microclustering tasks;Betancourt;J. Amer. Statist. Assoc.,2022

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