Parameter Estimation for Student's t VAR Model with Missing Data.
Rui ZhouJunyan LiuSandeep KumarDaniel P. PalomarPublished in: ICASSP (2021)
Keyphrases
- parameter estimation
- missing data
- var model
- maximum likelihood
- least squares
- impulse response
- missing values
- stock index futures
- markov random field
- incomplete data
- model selection
- random fields
- parameter estimation algorithm
- posterior distribution
- em algorithm
- approximate inference
- monte carlo simulation
- maximum a posteriori
- hyperparameters
- expectation maximization
- economic growth
- higher order
- neural network
- state space