2 papers
econ.EM2025
Large Bayesian Tensor Autoregressions
Yaling Qi
The availability of multidimensional economic datasets has grown significantly in recent years. An example is bilateral trade values across goods among countries, comprising three…
econ.EM2024
Large Bayesian Tensor VARs with Stochastic Volatility
Joshua C. C. Chan, Yaling Qi
We consider Bayesian tensor vector autoregressions (TVARs) in which the VAR coefficients are arranged as a three-dimensional array or tensor, and this coefficient tensor is paramet…