28 citations · 43 across the 10 of their papers we have counts for
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stat.CO2020
Machine Learning Econometrics: Bayesian algorithms and methods
Dimitris Korobilis, Davide Pettenuzzo
As the amount of economic and other data generated worldwide increases vastly, a challenge for future generations of econometricians will be to master efficient algorithms for infe…
stat.CO2018★ 2 cited
Bayesian dynamic variable selection in high dimensions
Gary Koop, Dimitris Korobilis
This paper proposes a variational Bayes algorithm for computationally efficient posterior and predictive inference in time-varying parameter (TVP) models. Within this context we sp…