2 papers
stat.ME2025
Scalable Variational Bayes Inference for Dynamic Variable Selection
Nicolas Bianco, Mauro Bernardi, Daniele Bianchi
We develop a variational Bayes approach for dynamic variable selection in high-dimensional regression models with time-varying parameters and predictors that exhibit a predefined g…
math.ST2024
Bayesian Dynamic Quantile Model Averaging
Mauro Bernardi, Roberto Casarin, Bertrand Maillet +1
This article introduces a novel dynamic framework to Bayesian model averaging for time-varying parameter quantile regressions. By employing sequential Markov chain Monte Carlo, we…