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Found 4 papers, 0 papers with code
Large Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis
We demonstrate the methodology through a structural analysis in which we use a 20-variable VAR with sign restrictions to identify 5 structural shocks.
Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility
We propose a new variational approximation of the joint posterior distribution of the log-volatility in the context of large Bayesian VARs.
Large Order-Invariant Bayesian VARs with Stochastic Volatility
Many popular specifications for Vector Autoregressions (VARs) with multivariate stochastic volatility are not invariant to the way the variables are ordered due to the use of a Cholesky decomposition for the error covariance matrix.
Bayesian Learning of Causal Relationships for System Reliability
Causal theory is now widely developed with many applications to medicine and public health.
