2 papers
stat.CO2025
A note on simulation methods for the Dirichlet-Laplace prior
Luis Gruber, Gregor Kastner, Anirban Bhattacharya +3
Bhattacharya et al. (2015, Journal of the American Statistical Association 110(512): 1479-1490) introduce a novel prior, the Dirichlet-Laplace (DL) prior, and propose a Markov chai…
econ.EM2025
Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!
Luis Gruber, Gregor Kastner
Vector autogressions (VARs) are widely applied when it comes to modeling and forecasting macroeconomic variables. In high dimensions, however, they are prone to overfitting. Bayesi…