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econ.EM2019
A Factor-Augmented Markov Switching (FAMS) Model
Gregor Zens, Maximilian Böck
This paper investigates the role of high-dimensional information sets in the context of Markov switching models with time varying transition probabilities. Markov switching models…
econ.EM2018
Bayesian shrinkage in mixture of experts models: Identifying robust determinants of class membership
Gregor Zens
A method for implicit variable selection in mixture of experts frameworks is proposed. We introduce a prior structure where information is taken from a set of independent covariate…