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Bayesian changepoint and time-varying parameter learning in regime switching volatility models.
M. Serdar Yümlü
Fikret S. Gürgen
A. Taylan Cemgil
Nesrin Okay
Published in:
Digit. Signal Process. (2015)
Keyphrases
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parameter learning
bayesian networks
maximum likelihood
hidden variables
parameter estimation
probabilistic model
em algorithm
bayesian inference
neural network
training data
active learning
least squares
model selection
approximate inference
structure learning