Learning and approximate inference in dynamic hierarchical models

DOI10.1016/j.csda.2007.01.001zbMath1452.62615MaRDI QIDQ1020885

Tom Heskes, Bart Bakker

Publication date: 2 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2066/34584

zbMATH Keywords

maximum likelihood estimation; time series; dynamic linear model; variational approximation; expectation propagation

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F15: Bayesian inference

Related Items

The explicit form of expectation propagation for a simple statistical model, Editorial: 2nd special issue on statistical signal extraction and filtering

Cites Work

• Bayesian forecasting and dynamic models.
• Factorial hidden Markov models
• Correctness of Belief Propagation in Gaussian Graphical Models of Arbitrary Topology
• Semiparametric Stochastic Mixed Models for Longitudinal Data
• Bayesian Forecasting of Multinomial Time Series Through Conditional Gaussian Dynamic Models
• Tree-based reparameterization framework for analysis of sum-product and related algorithms
• 10.1162/153244304322765658
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item