Bayesian Inference of Vector Autoregressions with Tensor Decompositions
<p>Vector autoregression (VAR) is a popular model for analyzing multivariate economic time series. However, VARs can be over-parameterized if the numbers of variables and lags are moderately large. Tensor VAR, a recent solution to over-parameterization, treats the coefficient matrix as a third...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Published: |
2025
|
| Subjects: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|