The Methods Bayesian Analysis of the Threshold Stochastic Volatility Model.
Peter BidyukAleksandr GozhyjZdislaw SzymanskiIrina KalininaVolodymyr BeglytsiaPublished in: DSMP (2018)
Keyphrases
- bayesian analysis
- stochastic model
- high level
- objective function
- preprocessing
- significant improvement
- probability distribution
- statistical models
- similarity measure
- learning models
- classification models
- linear regression
- mathematical model
- benchmark datasets
- classification method
- statistical methods
- prediction model
- dynamic programming
- lower bound
- financial time series
- stochastic programming
- computationally feasible
- search algorithm
- variational bayesian inference