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Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise.
Namgil Lee
Hyemi Choi
Sung-Ho Kim
Published in:
Comput. Stat. Data Anal. (2016)
Keyphrases
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normal distribution
high dimensional
mixture distribution
parameter estimation
statistical models
noisy data
monte carlo simulation
gaussian mixture model
training data
similarity search
random variables
signal to noise ratio