Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation

JCC Chan, L Jacobi, D Zhu - Journal of Forecasting, 2020 - Wiley Online Library
Large Bayesian vector autoregressions with the natural conjugate prior are now routinely
used for forecasting and structural analysis. It has been shown that selecting the prior …

Posterior Manifolds over Prior Parameter Regions: Beyond Pointwise Sensitivity Assessments for Posterior Statistics from MCMC Inference

L Jacobi, CF Kwok, A Ramírez-Hassan… - Studies in Nonlinear …, 2024 - degruyter.com
Increases in the use of Bayesian inference in applied analysis, the complexity of estimated
models, and the popularity of efficient Markov chain Monte Carlo (MCMC) inference under …

[PDF][PDF] An analysis of vectorised automatic differentiation for statistical applications

CF Kwok, D Zhu, L Jacobi - Available at SSRN, 2022 - assets-eu.researchsquare.com
Automatic differentiation (AD) is a general method of computing exact derivatives in complex
sensitivity analyses and optimisation routines in settings that lack closedform solutions, thus …