Forecasting with many predictors using message passing algorithms
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Keywordshigh-dimensional inference; compressive sensing; belief propagation; Bayesian shrinkage; dynamic factor models;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2017-05-07 (All new papers)
- NEP-CMP-2017-05-07 (Computational Economics)
- NEP-ECM-2017-05-07 (Econometrics)
- NEP-ETS-2017-05-07 (Econometric Time Series)
- NEP-FOR-2017-05-07 (Forecasting)
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