Stochastic variational inference for GARCH models.
Hanwen XuanLuca MaestriniFeng ChenClara GrazianPublished in: Stat. Comput. (2024)
Keyphrases
- variational inference
- bayesian inference
- garch model
- gaussian process
- posterior distribution
- topic models
- latent dirichlet allocation
- probabilistic model
- mixture model
- closed form
- variational methods
- probabilistic graphical models
- exponential family
- latent variables
- approximate inference
- stock market
- exact inference
- hyperparameters
- graphical models
- maximum likelihood
- conditional probabilities
- multivariate time series
- parameter estimation
- image segmentation