Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation-Reference-Cited by-同舟云学术

Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation

Published:2020-03-02 Issue:6 Volume:39 Page:934-943
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:Journal of Forecasting

Author:

Chan Joshua C. C.¹²^ORCID,Jacobi Liana³^ORCID,Zhu Dan⁴^ORCID

Affiliation:

1. Department of EconomicsPurdue University West Lafayette Indiana

2. Economics Discipline GroupUniversity of Technology Sydney Sydney NSW Australia

3. Department of EconomicsUniversity of Melbourne Australia

4. Department of Business Statistics and EconometricsMonash University Clayton Victoria Australia

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modeling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/for.2660

Reference31 articles.

1. Now-Casting and the Real-Time Data Flow

2. Large Bayesian vector auto regressions

3. Bayesian VARs: Specification Choices and Forecast Accuracy

4. Common Drifting Volatility in Large Bayesian VARs

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