Variational Bayes in State Space Models: Inferential and Predictive Accuracy
From MaRDI portal
Publication:6140307
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
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