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Large Bayesian VARs are now widely used in empirical macroeconomics. One popular shrinkage prior in this setting is the natural conjugate prior as it facilitates posterior simulation and leads to a range of useful analytical results. This…
The R package walker extends standard Bayesian general linear models to the case where the effects of the explanatory variables can vary in time. This allows, for example, to model the effects of interventions such as changes in tax policy…
In many applications, it is of interest to assess the dependence structure in multivariate longitudinal data. Discovering such dependence is challenging due to the dimensionality involved. By concatenating the random effects from component…
We propose a novel Bayesian heteroskedastic Markov-switching structural vector autoregression with data-driven time-varying identification. The model selects among alternative patterns of exclusion restrictions to identify structural shocks…
This paper presents two case studies of data sets where the main inferential goal is to characterize time-varying patterns in model structure. Both of these examples are seen to be general cases of the so-called "partition problem," where…
We propose a novel adaptive importance sampling scheme for Bayesian inversion problems where the inference of the variables of interest and the power of the data noise is split. More specifically, we consider a Bayesian analysis for the…
We develop a new statistical model to analyse time-varying ranking data. The model can be used with a large number of ranked items, accommodates exogenous time-varying covariates and partial rankings, and is estimated via the maximum…
The identification of Linear Time-Varying (LTV) systems from input-output data is a fundamental yet challenging ill-posed inverse problem. This work introduces a unified Bayesian framework that models the system's impulse response, $h(t,…
Many real-world systems modeled using differential equations involve unknown or uncertain parameters. Standard approaches to address parameter estimation inverse problems in this setting typically focus on estimating constants; yet some…
Time series data arising in many applications nowadays are high-dimensional. A large number of parameters describe features of these time series. We propose a novel approach to modeling a high-dimensional time series through several…
In this work we provide a mathematical framework to describe the periodically time variant (PTV) linear systems. We study their frequency-domain features to estimate the output bandwidth, a necessary value to obtain a suitable digital…
We develop a generalization of the time-varying Drude model, treating carrier density, effective mass, and collision rate as explicit functions of time. We derive expressions for polarization, susceptibility, displacement, and permittivity…
Varying coefficient models are useful in applications where the effect of the covariate might depend on some other covariate such as time or location. Various applications of these models often give rise to case-specific prior distributions…
This paper exhibits quadratic products of linear combinations of observables which identify the covariance structure underlying the univariate locally linear time series dynamic linear model. The first- and second-order moments for the…
In recent years, the time-dependent variational principle (TDVP) method based on the matrix product state (MPS) wave function formulation has shown its great power in performing large-scale quantum dynamics simulations for realistic…
Multivariate stochastic volatility models with skew distributions are proposed. Exploiting Cholesky stochastic volatility modeling, univariate stochastic volatility processes with leverage effect and generalized hyperbolic skew…
We consider the problem of variable selection in Bayesian multivariate linear regression models, involving multiple response and predictor variables, under multivariate normal errors. In the absence of a known covariance structure,…
In this contribution we introduce weakly locally stationary time series through the local approximation of the non-stationary covariance structure by a stationary one. This allows us to define autoregression coefficients in a non-stationary…
Discrimination between non-stationarity and long-range dependency is a difficult and long-standing issue in modelling financial time series. This paper uses an adaptive spectral technique which jointly models the non-stationarity and…
This paper proposes two distinct contributions to econometric analysis of large information sets and structural instabilities. First, it treats a regression model with time-varying coefficients, stochastic volatility and exogenous…