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stat.ME2020
Bayesian Singular Value Regularization via a Cumulative Shrinkage Process
Masahiro Tanaka
This study proposes a novel hierarchical prior for inferring possibly low-rank matrices measured with noise. We consider three-component matrix factorization, as in singular value…
stat.ME2020
On the Likelihood of Local Projection Models
Masahiro Tanaka
A local projection model is defined by a set of linear regressions that account for the associations between exogenous variables and an endogenous variable observed at different ti…