arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2006.07655econ.EMstat.ML
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Horseshoe先验贝叶斯分位数回归

Horseshoe Prior Bayesian Quantile Regression

David Kohns, Tibor Szendrei

AI总结:

本文提出Horseshoe先验贝叶斯分位数回归(HS-BQR),通过快速采样算法实现高维计算,在模拟和GaR应用中优于其他收缩先验,尤其擅长稀疏设计和极端分位数预测。

摘要:

本文将由Carvalho等人(2010)提出的Horseshoe先验扩展到贝叶斯分位数回归(HS-BQR),并提供了一种在高维计算中快速采样的算法。所提出的HS-BQR的性能通过蒙特卡洛模拟以及针对美国的高维增长风险(GaR)预测应用进行评估。蒙特卡洛设计考虑了多种稀疏性和误差结构。与替代的收缩先验相比,所提出的HS-BQR在系数偏差和预测误差方面表现更好(或至少相似)。HS-BQR在稀疏设计和极端分位数估计中尤为有效。正如预期,模拟还强调,在密集数据生成过程(DGPs)中识别单个回归变量的分位数特定位置和尺度效应需要大量数据。在GaR应用中,我们使用McCracken和Ng(2020)数据库预测尾部风险以及完整的预测密度。分位数特定和密度校准评分函数表明,HS-BQR提供了最佳性能,尤其是在短期和中期预测水平上。在大数据背景下生成校准良好的密度预测和准确的下行风险度量能力,使HS-BQR成为即时预测应用和衰退建模的有前景工具。

英文摘要:

This paper extends the horseshoe prior of Carvalho et al. (2010) to Bayesian quantile regression (HS-BQR) and provides a fast sampling algorithm for computation in high dimensions. The performance of the proposed HS-BQR is evaluated on Monte Carlo simulations and a high dimensional Growth-at-Risk (GaR) forecasting application for the U.S. The Monte Carlo design considers several sparsity and error structures. Compared to alternative shrinkage priors, the proposed HS-BQR yields better (or at worst similar) performance in coefficient bias and forecast error. The HS-BQR is particularly potent in sparse designs and in estimating extreme quantiles. As expected, the simulations also highlight that identifying quantile specific location and scale effects for individual regressors in dense DGPs requires substantial data. In the GaR application, we forecast tail risks as well as complete forecast densities using the McCracken and Ng (2020) database. Quantile specific and density calibration score functions show that the HS-BQR provides the best performance, especially at short and medium run horizons. The ability to produce well calibrated density forecasts and accurate downside risk measures in large data contexts makes the HS-BQR a promising tool for nowcasting applications and recession modelling.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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