Online learning of time-varying stochastic factor structure by variational sequential Bayesian factor analysis (Q4555142)
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scientific article; zbMATH DE number 6981256
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| English | Online learning of time-varying stochastic factor structure by variational sequential Bayesian factor analysis |
scientific article; zbMATH DE number 6981256 |
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Online learning of time-varying stochastic factor structure by variational sequential Bayesian factor analysis (English)
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19 November 2018
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time-varying factor models of time-series
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online learning of factor model parameters
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variational sequential Bayesian estimates
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variational Bayesian filter to estimate factor model parameters
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forecasting volatilities of portfolios of assets
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predictability of time-varying factor models
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0.7790411114692688
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0.7614536881446838
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0.7562179565429688
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0.7404372096061707
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