Browsing School of Economics and Finance by Author "Bianco, N"
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Variational inference for large Bayesian vector autoregressions*
Bernardi, M; Bianchi, D; Bianco, N (Taylor & Francis, 2023-12-05)We propose a novel variational Bayes approach to estimate high-dimensional Vector Autoregressive (VAR) models with hierarchical shrinkage priors. Our approach does not rely on a conventional structural representation of ...