Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty
高斯过程向量自回归与宏观经济不确定性
We develop a nonparametric multivariate time series model that remains agnostic on the precise relationship between a (possibly) large set of macroeconomic time series and their lagged values.The main building block of our model is a Gaussian process prior on the functional relationship that determines the conditional mean of the model, hence, the name of Gaussian process vector autoregression (GP-VAR).A flexible stochastic volatility specification is used to provide…