A0155
Title: Bayesian inference in time-varying parameter models with global-local shrinkage process priors
Authors: Mattias Villani - Stockholm University (Sweden) [presenting]
Abstract: Time-varying parameter models have been an active research topic for several decades, both in Statistics and Econometrics. Some recent progress in Bayesian inference for time-varying parameter models with global-local shrinkage process priors is presented. The methods are illustrated on a multi-seasonal ARMA process with a dynamic shrinkage process prior to model the evolution of both regular and seasonal components.
