Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation

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Authors and Corporations:

Chan, Joshua (Author), Jacobi, Liana (Author), Zhu, Dan (Author)

Other Authors:

Jacobi, Liana [Author] • Zhu, Dan [Author]

Type of Resource:

E-Book

Language:

English

published:

[Canberra] Australian National University, Crawford School of Public Policy, Centre for Applied Macroeconomic Analysis 2019

Series:

Subjects:

automatic differentiation

vector autoregression

optimal hyperparameters

forecasts

marginal likelihood

Graue Literatur

Source:

Verbunddaten SWB
Lizenzfreie Online-Ressourcen

Parent items:
Australian National University: CAMA working paper series