Variational Bayes for regime-switching log-normal models

DOI10.3390/E16073832zbMATH Open1338.62027OpenAlexW2043625782MaRDI QIDQ296292FDOQ296292

Hui Zhao, Paul Marriott

Publication date: 15 June 2016

Published in: Entropy (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/e16073832

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zbMATH Keywords

model selectioncovariance estimationvariational Bayesinformation geometryregime-switching log-normal model

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Bayesian inference (62F15) Measures of information, entropy (94A17)

Cites Work

• Estimating the dimension of a model
• A new look at the statistical model identification
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations (with discussion)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Title not available (Why is that?)
• On Information and Sufficiency
• 10.1162/jmlr.2003.3.4-5.993
• A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
• The variational form of certain Bayes estimators
• Algebraic Geometry and Statistical Learning Theory
• Second order efficiency of minimum contrast estimators in a curved exponential family
• Convergence properties of a general algorithm for calculating variational Bayesian estimates for a normal mixture model
• A Regime-Switching Model of Long-Term Stock Returns
• Variational Bayesian Inference for Parametric and Nonparametric Regression With Missing Data
• Bayesian Risk Management for Equity-Linked Insurance
• On the Adequacy of Variational Lower Bound Functions for Likelihood-based Inference in Markovian Models with Missing Values
• Accounting for regime and parameter uncertainty in regime-switching models

Cited In (2)

• Malware Family Discovery Using Reversible Jump MCMC Sampling of Regimes
• Conditionally conjugate mean-field variational Bayes for logistic models

Uses Software

• PRMLT

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