Concepedia

Bayesian Time-varying Parameter Models

Bayesian Time-Varying Parameter Models is a statistical modeling framework within Bayesian time series analysis that characterizes dynamic systems by treating model parameters as stochastic processes evolving over time according to specified prior distributions and updating them sequentially via posterior inference.

87

Publications

5K

Citations

187

Authors

136

Institutions

Publications per year

2017–2026

31

Variants

Bayesian Tvp Models

Parents

Publications

87

Predictive regressions with time-varying coefficients

Thomas Dangl, Michael Halling · Journal of Financial Economics · 2012 · 585 citations · Full text

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Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy

Jouchi Nakajima, Munehisa Kasuya, Toshiaki Watanabe · Journal of the Japanese and International Economies · 2011 · 298 citations

, , +16

Bayesian Analysis of Time Series and Dynamic Models

Michael E. Welch · Technometrics · 1990 · 232 citations

, , +15

A Bayesian approach to dynamic macroeconomics

David N. DeJong, Beth F. Ingram, Charles H. Whiteman · Journal of Econometrics · 2000 · 224 citations

, , +12

Dynamic Bayesian Models for Survival Data

Dani Gamerman · Journal of the Royal Statistical Society Series C (Applied Statistics) · 1991 · 171 citations

, , +12

1–5 of 87

Authors

187

  1. GK
    Gary Koop

    University of Strathclyde, United Kingdom

    6 publications · 287 citations

    6

    h-index

  2. LB
    Luca Benati

    European Central Bank, Germany

    4 publications · 228 citations

    4

    h-index

  3. MH
    Michael Halling

    TU Wien, Austria

    3 publications · 747 citations

    3

    h-index

  4. AR
    Alessandro Rebucci

    Johns Hopkins University, United States

    3 publications · 53 citations

    3

    h-index

  5. SF
    Sylvia Frühwirth‐Schnatter

    Vienna University of Economics and Business, Austria

    3 publications · 202 citations

    3

    h-index

1–5 of 187

Institutions

136

  1. European Central Bank

    Frankfurt am Main, Germany

    5 h-index

    5 publications

    183 citations

  2. Duke University

    Durham, United States

    4 h-index

    4 publications

    371 citations

  3. University of Illinois Urbana-Champaign

    Urbana, United States

    4 h-index

    7 publications

    336 citations

  4. Vienna University of Economics and Business

    Vienna, Austria

    3 h-index

    6 publications

    404 citations

  5. University of Strathclyde

    Glasgow, United Kingdom

    3 h-index

    4 publications

    361 citations

  6. Centre for Economic Policy Research

    London, United Kingdom

    3 h-index

    3 publications

    143 citations

  7. TU Wien

    Vienna, Austria

    3 h-index

    3 publications

    747 citations

  8. National Bureau of Economic Research

    Cambridge, United States

    3 h-index

    3 publications

    143 citations

1–8 of 136

Venues

  1. SSRN Electronic Journal

    Repository · 12 publications · 590 citations

    10

    h-index

  2. Journal of Econometrics

    7 publications · 702 citations

    7

    h-index

  3. Journal of Business and Economic Statistics

    JBES · 5 publications · 231 citations

    5

    h-index

  4. Applied Economics

    3 publications · 153 citations

    3

    h-index

  5. Computational Statistics & Data Analysis

    CSDA · 3 publications · 60 citations

    3

    h-index

1–5