Fast and accurate variational inference for models with many latent variables
DOI10.1016/J.JECONOM.2021.05.002OpenAlexW3168194744MaRDI QIDQ2172007FDOQ2172007
Authors: Rubén Loaiza-Maya, Michael Stanley Smith, David J. Nott, Peter J. Danaher 
Publication date: 14 September 2022
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2005.07430
latent variable modelsstochastic gradient ascentlarge consumer panelssub-sampling variational inferencetime-varying VAR with stochastic volatility
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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Cited In (12)
- Hybrid unadjusted Langevin methods for high-dimensional latent variable models
- Variational Bayes in State Space Models: Inferential and Predictive Accuracy
- Variational inference for cutting feedback in misspecified models
- Fast Variational Bayes Methods for Multinomial Probit Models
- Ultra-Fast Approximate Inference Using Variational Functional Mixed Models
- Natural gradient hybrid variational inference with application to deep mixed models
- Fast and universal estimation of latent variable models using extended variational approximations
- Optimizing Variational Representations of Divergences and Accelerating Their Statistical Estimation
- Bayesian Conjugacy in Probit, Tobit, Multinomial Probit and Extensions: A Review and New Results
- Approximating Bayes in the 21st century
- Gaussian variational approximations for high-dimensional state space models
- Stochastic variational inference for large-scale discrete choice models using adaptive batch sizes
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