Stochastic variational inference for GARCH models

DOI10.1007/S11222-023-10356-7MaRDI QIDQ6190666zbMATH OpenOpenAlexFDO

Authors

Publication date 6 February 2024

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2308.14952

zbMATH Keywords

Bayesian inferencefinancial time seriesskewed \(t\)-innovationstochastic gradient descentvariational Bayes

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(3)

• Natural gradient hybrid variational inference with application to deep mixed models
• Multivariate Markov switching Stingo, Francesco Claudio models: filtering, estimation and data analysis
• Fast approximate posterior inference for modeling disease dynamics via state-space models

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