299 citations · 844 across the 14 of their papers we have counts for
5 papers · 1 filter
Bayesian modeling and clustering for spatio-temporal areal data: An application to Italian unemployment
Alexander Mozdzen, Andrea Cremaschi, Annalisa Cadonna +2
Spatio-temporal areal data can be seen as a collection of time series which are spatially correlated according to a specific neighboring structure. Incorporating the temporal and s…
Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?
Martin Feldkircher, Luis Gruber, Florian Huber +1
We assess the relationship between model size and complexity in the time-varying parameter VAR framework via thorough predictive exercises for the Euro Area, the United Kingdom and…
Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models
Gregor Kastner, Sylvia Frühwirth-Schnatter
Bayesian inference for stochastic volatility models using MCMC methods highly depends on actual parameter values in terms of sampling efficiency. While draws from the posterior uti…
Sparse Bayesian time-varying covariance estimation in many dimensions
Gregor Kastner
We address the curse of dimensionality in dynamic covariance estimation by modeling the underlying co-volatility dynamics of a time series vector through latent time-varying stocha…
Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models
Florian Huber, Gregor Kastner, Martin Feldkircher
This paper proposes a straightforward algorithm to carry out inference in large time-varying parameter vector autoregressions (TVP-VARs) with mixture innovation components for each…