Bayesian Analysis of Latent Threshold Dynamic Models
We discuss a general approach to dynamic sparsity modeling in multivariate time series analysis. Time-varying parameters are linked to latent processes that are thresholded to induce zero values adaptively, providing natural mechanisms for dynamic variable inclusion/selection. We discuss Bayesian mo...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Published: |
2013
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| Online Access: | http://hdl.handle.net/10161/6152 |