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- Bayesian_vector_autoregression abstract "In statistics, Bayesian vector autoregression (BVAR) uses Bayesian methods to estimate a vector autoregression (VAR). In that respect, the difference with standard VAR models lies in the fact that the model parameters are treated as random variables, and prior probabilities are assigned to them.The parameter space of VARs proliferates with the number of dependent variables and the number of lags. At the same time, (macro-) economic datasets involve monthly, quarterly or annual observations and, thus are only of moderate size. Bayesian methods have attracted attention because full and empirical Bayes estimators help provide shrinkage over unrestricted least squares estimates. A typical example is the shrinkage prior proposed by Robert Litterman, and subsequently developed by other researchers at University of Minnesota, which came to stay in the BVAR literature as the "Minnesota prior".Recent research have shown that vector auto regression with Bayesian shrinkage is an appropriate tool for large scale dynamic models.".
- Bayesian_vector_autoregression wikiPageID "20484241".
- Bayesian_vector_autoregression wikiPageRevisionID "569051635".
- Bayesian_vector_autoregression hasPhotoCollection Bayesian_vector_autoregression.
- Bayesian_vector_autoregression subject Category:Bayesian_statistics.
- Bayesian_vector_autoregression subject Category:Econometrics.
- Bayesian_vector_autoregression subject Category:Multivariate_time_series_analysis.
- Bayesian_vector_autoregression comment "In statistics, Bayesian vector autoregression (BVAR) uses Bayesian methods to estimate a vector autoregression (VAR). In that respect, the difference with standard VAR models lies in the fact that the model parameters are treated as random variables, and prior probabilities are assigned to them.The parameter space of VARs proliferates with the number of dependent variables and the number of lags.".
- Bayesian_vector_autoregression label "Bayesian vector autoregression".
- Bayesian_vector_autoregression sameAs m.04zvqsc.
- Bayesian_vector_autoregression sameAs Q4874480.
- Bayesian_vector_autoregression sameAs Q4874480.
- Bayesian_vector_autoregression wasDerivedFrom Bayesian_vector_autoregression?oldid=569051635.
- Bayesian_vector_autoregression isPrimaryTopicOf Bayesian_vector_autoregression.