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stat.ME2017
Bayesian Markov Switching Tensor Regression for Time-varying Networks
Monica Billio, Roberto Casarin, Matteo Iacopini
We propose a new Bayesian Markov switching regression model for multidimensional arrays (tensors) of binary time series. We assume a zero-inflated logit regression with time-varyin…
stat.ME2017
Bayesian Dynamic Tensor Regression
Monica Billio, Roberto Casarin, Matteo Iacopini +1
Tensor-valued data are becoming increasingly available in economics and this calls for suitable econometric tools. We propose a new dynamic linear model for tensor-valued response…