NGSSEML: Non-Gaussian State Space with Exact Marginal Likelihood.
Thiago Rezende Dos SantosGlaura C. FrancoDani GamermanPublished in: R J. (2021)
Keyphrases
- marginal likelihood
- state space
- model selection
- closed form
- information criterion
- gaussian process
- hyperparameters
- reinforcement learning
- markov chain
- approximate inference
- state variables
- non stationary
- search space
- exponential family
- dynamic programming
- cross validation
- bayesian information criterion
- blind source separation
- factor analysis
- parameter estimation
- machine learning
- random sampling
- posterior distribution
- free energy
- gaussian distribution
- source separation
- statistical models
- regression model