Related papers: Shrinkage in the Time-Varying Parameter Model Fram…

Time-varying parameter (TVP) models have the potential to be over-parameterized, particularly when the number of variables in the model is large. Global-local priors are increasingly used to induce shrinkage in such models. But the…

Shrinkage for time-varying parameter (TVP) models is investigated within a Bayesian framework, with the aim to automatically reduce time-varying parameters to static ones, if the model is overfitting. This is achieved through placing the…

Time-varying parameter (TVP) regression models can involve a huge number of coefficients. Careful prior elicitation is required to yield sensible posterior and predictive inferences. In addition, the computational demands of Markov Chain…

This paper introduces a novel theory-coherent shrinkage prior for Time-Varying Parameter VARs (TVP-VARs). The prior centers the time-varying parameters on a path implied a priori by an underlying economic theory, chosen to describe the…

Time-varying parameter (TVP) models are very flexible in capturing gradual changes in the effect of a predictor on the outcome variable. However, in particular when the number of predictors is large, there is a known risk of overfitting and…

In this chapter, we review variance selection for time-varying parameter (TVP) models for univariate and multivariate time series within a Bayesian framework. We show how both continuous as well as discrete spike-and-slab shrinkage priors…

Many existing shrinkage approaches for time-varying parameter (TVP) models assume constant innovation variances across time points, inducing sparsity by shrinking these variances toward zero. However, this assumption falls short when states…

We present vir, an R package for variational inference with shrinkage priors. Our package implements variational and stochastic variational algorithms for linear and probit regression models, the use of which is a common first step in many…

Time-varying parameters (TVPs) models are frequently used in economics to capture structural change. I highlight a rather underutilized fact -- that these are actually ridge regressions. Instantly, this makes computations, tuning, and…

Successful forecasting models strike a balance between parsimony and flexibility. This is often achieved by employing suitable shrinkage priors that penalize model complexity but also reward model fit. In this note, we modify the stochastic…

Time-varying parameter (TVP) regressions commonly assume that time-variation in the coefficients is determined by a simple stochastic process such as a random walk. While such models are capable of capturing a wide range of dynamic…

In this paper, we write the time-varying parameter (TVP) regression model involving K explanatory variables and T observations as a constant coefficient regression model with KT explanatory variables. In contrast with much of the existing…

A novel numerical method for the estimation of large time-varying parameter (TVP) models is proposed. The updating and smoothing estimates of the TVP model are derived within the context of generalised linear least squares and through…

This article introduces two absolutely continuous global-local shrinkage priors to enable stochastic variable selection in the context of high-dimensional matrix exponential spatial specifications. Existing approaches as a means to dealing…

This article describes tsmp, an R package that implements the matrix profile concept for time series. The tsmp package is a toolkit that allows all-pairs similarity joins, motif, discords and chains discovery, semantic segmentation, etc.…

Crossing of fitted conditional quantiles is a prevalent problem for quantile regression models. We propose a new Bayesian modelling framework that penalises multiple quantile regression functions toward the desired non-crossing space. We…

Variable selection has received widespread attention over the last decade as we routinely encounter high-throughput datasets in complex biological and environment research. Most Bayesian variable selection methods are restricted to mixture…

Time-varying parameter VARs with stochastic volatility are routinely used for structural analysis and forecasting in settings involving a few endogenous variables. Applying these models to high-dimensional datasets has proved to be…

Time series segmentation aims to identify potential change-points in a sequence of temporally dependent data, so that the original sequence can be partitioned into several homogeneous subsequences. It is useful for modeling and predicting…

Shrinkage priors are a popular Bayesian paradigm to handle sparsity in high-dimensional regression. Still limited, however, is a flexible class of shrinkage priors to handle grouped sparsity, where covariates exhibit some natural grouping…