Related papers: Bayesian analysis of seasonally cointegrated VAR m…

I introduce a high-dimensional Bayesian vector autoregressive (BVAR) framework designed to estimate the effects of conventional monetary policy shocks. The model captures structural shocks as latent factors, enabling computationally…

This article introduces a flexible and adaptive nonparametric method for estimating the association between multiple covariates and power spectra of multiple time series. The proposed approach uses a Bayesian sum of trees model to capture…

This paper develops a Bayesian procedure for estimation and forecasting of the volatility of multivariate time series. The foundation of this work is the matrix-variate dynamic linear model, for the volatility of which we adopt a…

Covariance matrix estimation arises in multivariate problems including multivariate normal sampling models and regression models where random effects are jointly modeled, e.g. random-intercept, random-slope models. A Bayesian analysis of…

To study the impact of climate variables on morbidity of some diseases in Mexico, we propose a spatio-temporal varying coefficients regression model. For that we introduce a new spatio-temporal dependent process prior, in a Bayesian…

A novel spatial autoregressive model for panel data is introduced, which incorporates multilayer networks and accounts for time-varying relationships. Moreover, the proposed approach allows the structural variance to evolve smoothly over…

Within path sampling framework, we show that probability distribution divergences, such as the Chernoff information, can be estimated via thermodynamic integration. The Boltzmann-Gibbs distribution pertaining to different Hamiltonians is…

Macroeconomists using large datasets often face the choice of working with either a large Vector Autoregression (VAR) or a factor model. In this paper, we develop methods for combining the two using a subspace shrinkage prior. Subspace…

This paper studies estimation of panel cointegration models with cross-sectional dependence generated by unobserved global stochastic trends. The standard least squares estimator is, in general, inconsistent owing to the spuriousness…

A Bayesian multivariate model with a structured covariance matrix for multi-way nested data is proposed. This flexible modeling framework allows for positive and for negative associations among clustered observations, and generalizes the…

In some areas of knowledge there are data representing directions restricted to a specific range of values. Consequently, it is useful to have models for describing variables defined in subsets of the k-dimensional unit sphere. This need…

We design a novel, nonlinear single-source-of-error model for analysis of multiple business cycles. The model's specification is intended to capture key empirical characteristics of business cycle data by allowing for simultaneous cycles of…

We address the problem of predicting spatio-temporal processes with temporal patterns that vary across spatial regions, when data is obtained as a stream. That is, when the training dataset is augmented sequentially. Specifically, we…

Time series of individual subjects have become a common data type in psychological research. These data allow one to estimate models of within-subject dynamics, and thereby avoid the notorious problem of making within-subjects inferences…

Johansen's (1988, 1991) likelihood ratio test for cointegration rank of a Gaussian VAR depends only on the squared sample canonical correlations between current changes and past levels of a simple transformation of the data. We study the…

Conditional heteroscedastic (CH) models are routinely used to analyze financial datasets. The classical models such as ARCH-GARCH with time-invariant coefficients are often inadequate to describe frequent changes over time due to market…

Simultaneous inference for high-dimensional non-Gaussian time series is always considered to be a challenging problem. Such tasks require not only robust estimation of the coefficients in the random process, but also deriving limiting…

We develop a Quantile Bayesian Vector Autoregression (QBVAR) to forecast real oil prices across different quantiles of the conditional distribution. The model allows predictor effects to vary across quantiles, capturing asymmetries that…

Traditional methods for covariate adjustment of treatment means in designed experiments are inherently conditional on the observed covariate values. In order to develop a coherent general methodology for analysis of covariance, we propose a…

Variational Bayes methods are a potential scalable estimation approach for state space models. However, existing methods are inaccurate or computationally infeasible for many state space models. This paper proposes a variational…