Variational Bayes for generalized autoregressive models

DOI10.1109/TSP.2002.801921MaRDI QIDQ5353691zbMATH OpenOpenAlexWikidataFDO

Authors Will D. Penny, Stephen J. Roberts

Publication date 8 September 2017

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tsp.2002.801921

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited in

(12)

• Sequential Bayesian kernel modelling with non-Gaussian noise
• A tutorial on variational Bayes for latent linear stochastic time-series models
• Upscaling from particle models to entropic gradient flows
• Variational Bayes for regime-switching log-normal models
• Gaussian scale mixture models for robust linear multivariate regression with missing data
• Robust Autoregression: Student-t Innovations Using Variational Bayes
• Maximum a-posteriori estimation of autoregressive processes based on finite mixtures of scale-mixtures of skew-normal distributions
• Resolving the Antarctic contribution to sea‐level rise: a hierarchical modelling framework
• A variational Bayesian methodology for hidden Markov models utilizing Student's-\(t\) mixtures
• Co-kriging based multi-fidelity uncertainty quantification of beam vibration using coarse and fine finite element meshes
• Autoregressive models with mixture of scale mixtures of Gaussian innovations
• Iterative estimation algorithms using conjugate function lower bound and minorization-maximization with applications in image denoising

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