4 papers
Modelling spatial heterogeneity in the effects of area-level covariates on income distributions using Bayesian nonparametric methods
Ziyou Wang, Jim Griffin, Maria Kalli
Understanding the how the distribution of an economic outcome, such as income, changes with respect to space and covariates is a key concern for policy makers. To address this, we…
Time-varying Parameter Tensor Vector Autoregression
Yiyong Luo, Jim E. Griffin
Time-varying parameter vector autoregression provides a flexible framework to capture structural changes within time series. However, when applied to high-dimensional data, this mo…
A General Purpose Approximation to the Ferguson-Klass Algorithm for Sampling from Lévy Processes Without Gaussian Components
Dawid Bernaciak, Jim E. Griffin
We propose a general-purpose approximation to the Ferguson-Klass algorithm for generating samples from Lévy processes without Gaussian components. We show that the proposed method…
Time-varying Factor Augmented Vector Autoregression with Grouped Sparse Autoencoder
Yiyong Luo, Brooks Paige, Jim Griffin
Recent economic events, including the global financial crisis and COVID-19 pandemic, have exposed limitations in linear Factor Augmented Vector Autoregressive (FAVAR) models for fo…