Kyusoon Kim

Bayesian Generalized Network Autoregressive Model with Structured Shrinkage and Persistence Priors

We propose a Bayesian generalized network autoregressive (BGNAR) model for multivariate time series whose component series are associated with the nodes of a known network. The proposed framework combines the parsimonious network structure of the generalized network autoregressive (GNAR) model with structured shrinkage...