Variational Bayes for regime-switching log-normal models
From MaRDI portal
Publication:296292
DOI10.3390/e16073832zbMath1338.62027OpenAlexW2043625782MaRDI QIDQ296292
Publication date: 15 June 2016
Published in: Entropy (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3390/e16073832
model selectioninformation geometryvariational Bayescovariance estimationregime-switching log-normal model
Bayesian inference (62F15) Measures of information, entropy (94A17) Statistical aspects of information-theoretic topics (62B10)
Related Items (1)
Uses Software
Cites Work
- Unnamed Item
- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
- Accounting for regime and parameter uncertainty in regime-switching models
- Second order efficiency of minimum contrast estimators in a curved exponential family
- The variational form of certain Bayes estimators
- Estimating the dimension of a model
- Approximate Bayesian Inference for Latent Gaussian models by using Integrated Nested Laplace Approximations
- Variational Bayesian Inference for Parametric and Nonparametric Regression With Missing Data
- Algebraic Geometry and Statistical Learning Theory
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Bayesian Risk Management for Equity-Linked Insurance
- 10.1162/jmlr.2003.3.4-5.993
- On the Adequacy of Variational Lower Bound Functions for Likelihood-based Inference in Markovian Models with Missing Values
- A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
- A Regime-Switching Model of Long-Term Stock Returns
- On Information and Sufficiency
- Convergence properties of a general algorithm for calculating variational Bayesian estimates for a normal mixture model
- A new look at the statistical model identification
This page was built for publication: Variational Bayes for regime-switching log-normal models
