Variational Bayes in State Space Models: Inferential and Predictive Accuracy

DOI10.1080/10618600.2022.2134875arXiv2106.12262MaRDI QIDQ6140307

Gael M. Martin, David T. Frazier, Rubén Loaiza-Maya

Publication date: 22 January 2024

Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2106.12262

zbMATH Keywords

state space modelsvariational inferencescoring rulesprobabilistic forecastingBayesian consistency

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
• Quasi-maximum likelihood estimation of stochastic volatility models
• The incidental parameter problem since 1948
• Fast and accurate variational inference for large Bayesian VARs with stochastic volatility
• Fast and accurate variational inference for models with many latent variables
• \(\alpha\)-variational inference with statistical guarantees
• Consistency of the maximum likelihood estimator for general hidden Markov models
• Closed-form implied volatility surfaces for stochastic volatility models with jumps
• Approximate Bayesian Inference for Latent Gaussian models by using Integrated Nested Laplace Approximations
• Parameter Estimation for Hidden Markov Models with Intractable Likelihoods
• BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS
• Beyond Prediction: A Framework for Inference With Variational Approximations in Mixture Models
• Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• On Gibbs sampling for state space models
• Asymptotic properties of approximate Bayesian computation
• Particle Markov Chain Monte Carlo Methods
• Frequentist Consistency of Variational Bayes
• MCMC for Imbalanced Categorical Data
• Variational Inference for Large-Scale Models of Discrete Choice
• Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator
• A General Framework for Updating Belief Distributions
• Time Varying Structural Vector Autoregressions and Monetary Policy
• Consistent Estimates Based on Partially Consistent Observations

This page was built for publication: Variational Bayes in State Space Models: Inferential and Predictive Accuracy