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Variational Bayes inference in high dimensional time varying parameter models

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Figure

Figure 1 plots the true values of the eight
Figure 1: True values of generated coefficients in the sparse time-varying parameterregression DGP with T = 200, p = 8, and ρ = 0.9, plotted against the VBKF andFFKF estimates
Figure 2: True generated volatility in the sparse DGP withagainst estimates from VB and EWMA filters
Table 1: Mean squared deviations and average CPU time per Monte Carlo iteration
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