GPU-accelerated Bayesian learning and forecasting in simultaneous graphical dynamic linear models

DOI10.1214/15-BA946zbMath1359.62367OpenAlexW1976640471MaRDI QIDQ516444

Mike West, Lutz F. Gruber

Publication date: 14 March 2017

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ba/1425304898

zbMATH Keywords

importance samplingparallel computingvariational Bayeshigh-dimensional time seriesdecoupling modelsrecoupling models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Linear regression; mixed models (62J05) Bayesian inference (62F15) Learning and adaptive systems in artificial intelligence (68T05)

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