Bayesian doubly adaptive elastic-net Lasso for VAR shrinkage
نویسندگان
چکیده
منابع مشابه
Bayesian Doubly Adaptive Elastic-Net Lasso For VAR Shrinkage
We develop a novel Bayesian doubly adaptive elastic-net Lasso (DAELasso) approach for VAR shrinkage. DAELasso achieves variable selection and coefficients shrinkage in a data based manner. It constructively deals with the explanatory variables that tend to be highly collinear by encouraging grouping effect. In addition, it allows for different degree of shrinkages for different coefficients. Re...
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ژورنال
عنوان ژورنال: International Journal of Forecasting
سال: 2014
ISSN: 0169-2070
DOI: 10.1016/j.ijforecast.2013.04.004