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Record W4385581012 · doi:10.1080/07474938.2023.2237274

Time-dependent shrinkage of time-varying parameter regression models

2023· article· en· W4385581012 on OpenAlex
Zhongfang He

Why this work is in the frame

A frame that forgets how it found something cannot be audited. These are the routes that admitted this work.

affAt least one author lists a Canadian institution in the pinned OpenAlex snapshot.

Bibliographic record

VenueEconometric Reviews · 2023
Typearticle
Languageen
FieldComputer Science
TopicBayesian Methods and Mixture Models
Canadian institutionsRoyal Bank of Canada
Fundersnot available
KeywordsShrinkageHeteroscedasticityLatent variableEconometricsPrior probabilityBayesian probabilityStatisticsRegressionLinear regressionVariance (accounting)Regression analysisShrinkage estimatorMathematicsComputer scienceEconomicsMean squared error

Abstract

fetched live from OpenAlex

This article studies the time-varying parameter (TVP) regression model in which the regression coefficients are random walk latent states with time-dependent conditional variances. This TVP model is flexible to accommodate a wide variety of time variation patterns but requires effective shrinkage on the state variances to avoid over-fitting. A Bayesian shrinkage prior is proposed based on reparameterization that translates the variance shrinkage problem into a variable shrinkage one in a conditionally linear regression with fixed coefficients. The proposed prior allows strong shrinkage for the state variances while maintaining the flexibility to accommodate local signals. A Bayesian estimation method is developed that employs the ancilarity-sufficiency interweaving strategy to boost sampling efficiency. Simulation study and an empirical application to forecast inflation rate illustrate the benefits of the proposed approach.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

Full frame distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.003
metaresearch head score (Gemma)0.000
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesInsufficient payload (model declined to judge)
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Other design · Consensus signal: none
GenreCandidate signal: Methods · Consensus signal: Methods
Teacher disagreement score0.984
Threshold uncertainty score0.998

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0030.000
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0010.000
Bibliometrics0.0010.003
Science and technology studies0.0000.000
Scholarly communication0.0000.001
Open science0.0010.000
Research integrity0.0000.000
Insufficient payload (model declined to judge)0.0000.002

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.060
GPT teacher head0.303
Teacher spread0.243 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it