Nicolas Bianco
Biographic Data
| ID | 8920870 |
|---|---|
| NAME | Nicolas Bianco |
| GIVEN NAMES | Nicolas |
| FAMILY NAME | Bianco |
| SIGNATURE | BIANCO N |
| AFFILIATIONS | Universitat Pompeu Fabra |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 1 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2024 |
| LATEST PUBLICATION YEAR | 2024 |
| H-INDEX | 0 |
Variational Inference for Large Bayesian Vector Autoregressions
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 the parameter space for posterior inference.Instead, we elicit hierarchical shrinkage priors directly on the matrix of regression coefficients so that (a) the prior structure maps into posterior inference on the reduced-form transi…
No prominent works on this page.
Variational Inference for Large Bayesian Vector Autoregressions
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 the parameter space for posterior inference.Instead, we elicit hierarchical shrinkage priors directly on the matrix of regression coefficients so that (a) the prior structure maps into posterior inference on the reduced-form transi…
Applied Mathematics (1 works) · Artificial Intelligence (1 works) · Autoregressive model (1 works) · Bayes factor (1 works) · Bayes' theorem (1 works) · Bayesian inference (1 works) · Bayesian linear regression (1 works) · Bayesian probability (1 works) · Computer Science (1 works) · Econometrics (1 works)