Time-dependent shrinkage of time-varying parameter regression models

Parsimony inducing priors for large scale state–space models

(2021) Hedibert F. Lopes et al.   JOURNAL OF ECONOMETRICS

Reducing the state space dimension in a large TVP-VAR

(2020) Joshua C.C. Chan et al.   JOURNAL OF ECONOMETRICS

Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors

(2019) Andrea Carriero et al.   JOURNAL OF ECONOMETRICS

Dynamic shrinkage processes

(2019) Daniel R. Kowal et al.   JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

Lasso Meets Horseshoe: A Survey

(2019) Anindya Bhadra et al.   STATISTICAL SCIENCE

Relevant parameter changes in structural break models

(2019) Arnaud Dufays et al.   JOURNAL OF ECONOMETRICS

Achieving shrinkage in a time-varying parameter model framework

(2018) Angela Bitto et al.   JOURNAL OF ECONOMETRICS

Interweaving Markov Chain Monte Carlo Strategies for Efficient Estimation of Dynamic Linear Models

(2017) Matthew Simpson et al.   JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS

Fast sampling with Gaussian scale mixture priors in high-dimensional regression

(2016) Anirban Bhattacharya et al.   BIOMETRIKA

A Simple Sampler for the Horseshoe Estimator

(2016) Enes Makalic et al.   IEEE SIGNAL PROCESSING LETTERS

Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models

(2013) Gregor Kastner et al.   COMPUTATIONAL STATISTICS & DATA ANALYSIS

Time-varying sparsity in dynamic regression models

(2013) Maria Kalli et al.   JOURNAL OF ECONOMETRICS

Bayesian Inference for Logistic Models Using Pólya–Gamma Latent Variables

(2013) Nicholas G. Polson et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Time Varying Dimension Models

(2012) Joshua C.C. Chan et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Bayesian Analysis of Latent Threshold Dynamic Models

(2012) Jouchi Nakajima et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Random variate generation for the generalized inverse Gaussian distribution

(2012) Luc Devroye   STATISTICS AND COMPUTING

To Center or Not to Center: That Is Not the Question—An Ancillarity–Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Efficiency

(2011) Yaming Yu et al.   JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS

The horseshoe estimator for sparse signals

(2010) C. M. Carvalho et al.   BIOMETRIKA

Simulation smoothing for state–space models: A computational efficiency analysis

(2010) William J. McCausland et al.   COMPUTATIONAL STATISTICS & DATA ANALYSIS

Stochastic model specification search for Gaussian and partial non-Gaussian state space models

(2009) Sylvia Frühwirth-Schnatter et al.   JOURNAL OF ECONOMETRICS

Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models

(2007) Paolo Giordani et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS