Sparse Bayesian Time-Varying Covariance Estimation in Many Dimensions

Gregor Kastner

Institute for Statistics and Mathematics

Publication: Working/Discussion Paper › WU Working Paper

297 Downloads (Pure)

1 Journal article

1 results

2019

Sparse Bayesian Time-Varying Covariance Estimation in Many Dimensions
Kastner, G., 2019, In: Journal of Econometrics. 210, 1, p. 98 - 115
Publication: Scientific journal › Journal article › peer-review