no code implementations • 18 Jul 2021 • David Kohns, Tibor Szendrei
We propose a new variant of the SAVS which automates the choice of penalisation through quantile specific loss-functions that are valid in high dimensions.
no code implementations • 2 Nov 2020 • David Kohns, Arnab Bhattacharjee
The application to nowcasting GDP growth as well as a simulation study demonstrate that the horseshoe prior BSTS improves markedly upon the SSVS and the original BSTS model with the largest gains in dense data-generating-processes.
no code implementations • 13 Jun 2020 • David Kohns, Tibor Szendrei
The performance of the proposed HS-BQR is evaluated on Monte Carlo simulations and a high dimensional Growth-at-Risk (GaR) forecasting application for the U. S.