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Estimation of High-Dimensional Markov-Switching VAR Models with an Approximate EM Algorithm
To overcome these challenges, in this paper we propose an approximate EM algorithm for Markov-switching VAR models that leads to efficient computation and also facilitates the investigation of asymptotic properties of the resulting parameter estimates.
Discussion of Kallus (2020) and Mo, Qi, and Liu (2020): New Objectives for Policy Learning
We discuss the thought-provoking new objective functions for policy learning that were proposed in "More efficient policy learning via optimal retargeting" by Nathan Kallus and "Learning optimal distributionally robust individualized treatment rules" by Weibin Mo, Zhengling Qi, and Yufeng Liu.
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