Bayesian Shrinkage in High-Dimensional VAR Models: A Comparative Study
高维 VAR 模型中的贝叶斯收缩:比较研究AI 解读 ↓
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高维 VAR 模型中的贝叶斯收缩:比较研究AI 解读 ↓
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High-dimensional vector autoregressive (VAR) models offer a versatile framework for multivariate time series analysis, yet face critical challenges from over-parameterization and uncertain lag order. In this paper, we systematically compare three Bayesian shrinkage priors (horseshoe, lasso, and normal) and two frequentist regularization approaches (ridge and nonparametric shrinkage) under three carefully crafted simulation scenarios. These scenarios encompass (i) overfitting in a low-dimensional setting, (ii) sparse high-dimensional processes, and (iii) a combined scenario where both large dimension and overfitting complicate inference. We evaluate each method in quality of parameter estimation (root mean squared error, coverage, and interval length) and out-of-sample forecasting (one-step-ahead forecast RMSE). Our findings show that local-global Bayesian methods, particularly the horseshoe, dominate in maintaining accurate coverage and minimizing parameter error, even when the model is heavily over-parameterized. Frequentist ridge often yields competitive point forecasts but underestimates uncertainty, leading to sub-nominal coverage. A real-data application using macroeconomic variables from Canada illustrates how these methods perform in practice, reinforcing the advantages of local-global priors in stabilizing inference when dimension or lag order is inflated.
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Vector autoregression (VAR) models are widely used for forecasting and macroeconomic analysis, yet they remain limited by their reliance on a linear parameterization. Recent research has introduced nonparametric alternatives, such as Bayesian additive regression trees (BART), which provide flexibility without strong parametric assumptions. However, existing BART-based frameworks do not account for time dependency or allow for sparse estimation in the construction of…
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Vector autoregressive moving-average (VARMA) models have long been considered impractical beyond moderate dimensions: the likelihood is non-convex, the parametrization is identified only up to equivalence, and every evaluation costs a pass over the entire series. Yet their moving-average term captures with a few parameters what a pure autoregression matches only with many lags. We introduce an estimation framework that removes this computational barrier: each optimization…
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Matrix-variate time series data are increasingly popular in economics, statistics, and environmental studies, among other fields. This paper develops regularized estimation methods for analyzing high-dimensional matrix-variate time series using bilinear matrix-variate autoregressive models. The bilinear autoregressive structure is widely used for matrix-variate time series, as it reduces model complexity while capturing interactions between rows and columns. However, when…