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stat.ME2023
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…
stat.ME2018
Large-Scale Dynamic Predictive Regressions
Daniele Bianchi, Kenichiro McAlinn
We develop a novel "decouple-recouple" dynamic predictive strategy and contribute to the literature on forecasting and economic decision making in a data-rich environment. Under th…