Fast and accurate variational inference for models with many latent variables

DOI10.1016/j.jeconom.2021.05.002OpenAlexW3168194744MaRDI QIDQ2172007

Michael Stanley Smith, Peter J. Danaher, Rubén Loaiza-Maya, David J. Nott

Publication date: 14 September 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.07430

zbMATH Keywords

latent variable modelsstochastic gradient ascentlarge consumer panelssub-sampling variational inferencetime-varying VAR with stochastic volatility

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (4)

Bayesian Conjugacy in Probit, Tobit, Multinomial Probit and Extensions: A Review and New Results ⋮ Variational Bayes in State Space Models: Inferential and Predictive Accuracy ⋮ Variational inference for cutting feedback in misspecified models ⋮ Fast Variational Bayes Methods for Multinomial Probit Models

Uses Software

• bfa
• ADVI
• ADADELTA

Cites Work

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