GARCH dependence in extreme value models with Bayesian inference.
Xin ZhaoCarl John ScarrottLes OxleyMarco RealePublished in: Math. Comput. Simul. (2011)
Keyphrases
- bayesian inference
- probabilistic model
- variational inference
- probabilistic modeling
- hidden variables
- gibbs sampler
- extreme values
- prior information
- bayesian models
- markov networks
- variational approximation
- statistical inference
- mixture model
- bayesian model
- hyperparameters
- cross validation
- model selection
- hierarchical bayesian
- graphical models