Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions

Time-Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum

This note corrects a mistake in the estimation algorithm of the time-varying structural vector autoregression model of Primiceri (2005) and proposes a new algorithm that correctly applies the procedure proposed by Kim, Shephard, and Chib (1998) to the estimation of VAR or DSGE models with stochastic volatility. Relative to Primiceri (2005), the correct algorithm involves a different ordering of...

Time-Varying Autoregressions for Speaker Verification in Reverberant Conditions

In poor room acoustics conditions, speech signals received by a microphone might become corrupted by the signals’ delayed versions that are reflected from the room surfaces (e.g. wall, floor). This phenomenon, reverberation, drops the accuracy of automatic speaker verification systems by causing mismatch between the training and testing. Since reverberation causes temporal smearing to the signa...

Parameter Estimation for Time-Varying System Based on Combinatorial PSO

In this paper, a novel Particle Swarm Optimization (PSO) identification algorithm for time-varying systems with a colored noise is presented. Presented criterion function can show not only outside system output error but also inside parameters error in order to explain more difference between actual and estimative system. Identification algorithm may consist of many different PSO algorithms tha...

Bayesian Vector Autoregressions

This article provides an introduction to the burgeoning academic literature on Bayesian Vector Autoregressions, benchmark models for applied macroeconomic research. We first explain Bayes’ theorem and the derivation of the closed-form solution for the posterior distribution of the parameters of the model given data. We further consider parameter shrinkage, a distinguishing feature of the prior ...

Network Dimensioning Based on Refined Blocking Measures