Blar i BI Research Centre's Series på emneord "variational Bayes"
Viser treff 1-2 av 2
-
Monitoring multicountry macroeconomic risk
(CAMP Working Paper Series;06/2023, Working paper, 2023-08-03)We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence ... -
Probabilistic Quantile Factor Analysis
(CAMP Working Paper Series;05/2023, Working paper, 2023-08-03)This paper extends quantile factor analysis to a probabilistic variant that incorporates regularization and computationally efficient variational approximations. By means of synthetic and real data experiments it is ...