A structured variational learning approach for switching latent factor models

DOI10.1007/s10182-007-0031-4zbMath1331.62405OpenAlexW4300123509MaRDI QIDQ636175

Mohamed Saidane, Christian Lavergne

Publication date: 25 August 2011

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-007-0031-4

zbMATH Keywords

HMMEM algorithmfactor modelsvariational approximationconditional heteroscedasticity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (2)

Improved nonlinear multivariate financial time series prediction with mixed-state latent factor models ⋮ Optimal prediction with conditionally heteroskedastic factor analysed hidden Markov models

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