OpenAlex | Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise

Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise

Work

Year: 2016

Type: article

Source: Computational Statistics & Data Analysis

Authors Namgil Lee, Hyemi Choi, Sung‐Ho Kim

Institutions Korea Advanced Institute of Science and Technology, Jeonbuk National University

Cites: 47

Cited by: 18

Related to: 10

FWCI: 1.53

Citation percentile (by year/subfield): 99.98

Topic: Statistical Methods and Inference

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: closed

Funder National Research Foundation of Korea

Grant ID 2010-0023739