Choosing Prior Hyperparameters: With Applications to Time-Varying Parameter Models

Mathematics

• Time-Varying Parameter 100%
• Supplementary Material 50%
• Residuals 50%
• Monte Carlo 50%
• Bayesian 50%
• Bayesian Approach 50%
• Covariance Matrix 50%
• Stochastic Volatility 50%
• Scaling Factor 50%
• Hierarchical Model 50%

Keyphrases

• Hyperparameters 100%
• Time-varying Parameter Model 100%
• Scale Factor 16%
• Monte Carlo Simulation 16%
• Easy-to-implement 16%
• Covariance Matrix 16%
• Bayesian Methods 16%
• Time Variation 16%
• Hierarchical Model 16%
• Fully Bayesian Approach 16%
• Financial Data 16%
• Prior Distribution 16%
• Stochastic Volatility 16%
• Macroeconomic Data 16%