On the Adequacy of Variational Lower Bound Functions for Likelihood-based Inference in Markovian Models with Missing Values

DOI10.1111/1467-9868.00350zbMath1099.62095OpenAlexW2006019584MaRDI QIDQ4665899

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Publication date: 11 April 2005

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9868.00350

zbMATH Keywords

autoregressive modelmean field approximationGaussian random fieldvariational approximationmissing valuesMarkovian modelexact conditional distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

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Cites Work

• Parameter estimation for hidden Markov chains
• The mean field theory in EM procedures for Markov random fields
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