Efficient Importance Variational Approximations for State Space Models
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Cites work
- A state space model for multivariate longitudinal count data
- An introduction to sequential Monte Carlo
- Assessment and Adjustment of Approximate Inference Algorithms Using the Law of Total Variance
- BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS
- Count Time Series: A Methodological Review
- Dynamic Discrete Mixtures for High-Frequency Prices
- Efficient high-dimensional importance sampling
- Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator
- Fast and accurate variational inference for large Bayesian VARs with stochastic volatility
- Fast and accurate variational inference for models with many latent variables
- Gaussian Variational Approximation With a Factor Covariance Structure
- Gaussian variational approximation with sparse precision matrices
- Gaussian variational approximations for high-dimensional state space models
- Large Hybrid Time-Varying Parameter VARs
- Large stochastic volatility in mean VARs
- Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model
- Multivariate Stochastic Volatility Model With Realized Volatilities and Pairwise Realized Correlations
- Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models
- On Gibbs sampling for state space models
- Particle Markov Chain Monte Carlo Methods
- Particle efficient importance sampling
- Realized kernels in practise : trades and quotes
- Tests of Conditional Predictive Ability
- Variational Bayes in State Space Models: Inferential and Predictive Accuracy
- Variational Inference for Large Bayesian Vector Autoregressions
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