2 papers
stat.ME2026
Multi-regime Markov-switching models with time-varying transition probabilities: An application to U.S. Treasury yields
Samuel Modée, Yushu Li, Sjur Westgaard +1
This paper studies Markov-switching (MS) models with time-varying transition probabilities (TVTP) under alternative specifications of the transition probability matrix. We extend t…
stat.ML2019
A Bayesian Lasso based Sparse Learning Model
Ingvild M. Helgøy, Yushu Li
The Bayesian Lasso is constructed in the linear regression framework and applies the Gibbs sampling to estimate the regression parameters. This paper develops a new sparse learning…