Rossini, Luca, Villa, Cristiano, Prevenas, Sotiris, McCrea, Rachel (2024) Loss-based prior for the degrees of freedom of the Wishart distribution. Econometrics and Statistics, . ISSN 2452-3062. (doi:10.1016/j.ecosta.2024.04.001) (KAR id:105607)
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Official URL: https://doi.org/10.1016/j.ecosta.2024.04.001 |
Abstract
Motivated by the proliferation of extensive macroeconomic and health datasets necessitating accurate forecasts, a novel approach is introduced to address Vector Autoregressive (VAR) models. This approach employs the global-local shrinkage-Wishart prior. Unlike conventional VAR models, where degrees of freedom are predetermined to be equivalent to the size of the variable plus one or equal to zero, the proposed method integrates a hyperprior for the degrees of freedom to account for the uncertainty in the parameter values. Specifically, a loss-based prior is derived to leverage information regarding the data-inherent degrees of freedom. The efficacy of the proposed prior is demonstrated in a multivariate setting both for forecasting macroeconomic data, and Dengue infection data.
Item Type: | Article |
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DOI/Identification number: | 10.1016/j.ecosta.2024.04.001 |
Uncontrolled keywords: | Forecasting, Global-local Shrinkage Prior, Loss-based prior, Macroeconomic data, Vector Autoregressive models |
Subjects: | Q Science > QA Mathematics (inc Computing science) |
Divisions: | Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science |
SWORD Depositor: | JISC Publications Router |
Depositing User: | JISC Publications Router |
Date Deposited: | 19 Apr 2024 14:01 UTC |
Last Modified: | 22 Apr 2024 15:37 UTC |
Resource URI: | https://kar.kent.ac.uk/id/eprint/105607 (The current URI for this page, for reference purposes) |
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