Stochastic variational inference for GARCH models
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Publication:6190666
DOI10.1007/s11222-023-10356-7zbMath1529.62041arXiv2308.14952OpenAlexW4388868206MaRDI QIDQ6190666
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Publication date: 6 February 2024
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2308.14952
Bayesian inferencefinancial time seriesstochastic gradient descentvariational Bayesskewed \(t\)-innovation
Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)
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