三重伽玛--方差和变量的统一收缩先验 稀疏状态空间中的选择与TVP模型

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摘要翻译：
时变参数(TVP)模型在捕捉预测因子对结果变量影响的渐变方面非常灵活。然而，特别是当预测器的数量很大时，存在已知的过拟合和预测性能差的风险，因为一些预测器的效果随着时间的推移是恒定的。在TVP模型中，我们提出了一个方差收缩的先验，称为三伽玛。三伽马先验包括以前提出的许多先验，如贝叶斯套索、双伽马先验和马蹄形先验。我们给出了这种先验的理想性质及其与方差选择的贝叶斯模型平均的关系。然后在时变参数向量自回归模型的背景下，对模拟数据集和欧元区一系列宏观经济变量的三重gamma先验的特征进行了说明。
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英文标题：
《Triple the gamma -- A unifying shrinkage prior for variance and variable
  selection in sparse state space and TVP models》
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作者：
Annalisa Cadonna, Sylvia Fr\"uhwirth-Schnatter, Peter Knaus
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最新提交年份：
2019
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分类信息：

一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Statistics        统计学
二级分类：Methodology        方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
--

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英文摘要：
  Time-varying parameter (TVP) models are very flexible in capturing gradual changes in the effect of a predictor on the outcome variable. However, in particular when the number of predictors is large, there is a known risk of overfitting and poor predictive performance, since the effect of some predictors is constant over time. We propose a prior for variance shrinkage in TVP models, called triple gamma. The triple gamma prior encompasses a number of priors that have been suggested previously, such as the Bayesian lasso, the double gamma prior and the Horseshoe prior. We present the desirable properties of such a prior and its relationship to Bayesian Model Averaging for variance selection. The features of the triple gamma prior are then illustrated in the context of time varying parameter vector autoregressive models, both for simulated datasets and for a series of macroeconomics variables in the Euro Area.
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PDF链接：
https://arxiv.org/pdf/1912.03100

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关键词：状态空间 econometrics relationship Multivariate Econometric time 时间 因子 variance shrinkage