Truncated priors for tempered hierarchical Dirichlet process vector autoregression
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More about this item
Keywords
Bayesian nonparametrics; forecasting; hierarchical Dirichlet process; infinite hidden Markov model.;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CIS-2019-11-04 (Confederation of Independent States)
- NEP-ECM-2019-11-04 (Econometrics)
- NEP-ETS-2019-11-04 (Econometric Time Series)
- NEP-MAC-2019-11-04 (Macroeconomics)
- NEP-ORE-2019-11-04 (Operations Research)
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