Search Results for author: David Kohns

Found 3 papers, 0 papers with code

Horseshoe Prior Bayesian Quantile Regression

no code implementations13 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.

regression

Decoupling Shrinkage and Selection for the Bayesian Quantile Regression

no code implementations18 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.

regression valid +1

Nowcasting Growth using Google Trends Data: A Bayesian Structural Time Series Model

no code implementations2 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.

Time Series Time Series Analysis +1

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