Variational Bayes for regime-switching log-normal models

DOI10.3390/E16073832MaRDI QIDQ296292zbMATH OpenOpenAlexFDO

Authors Paul Marriott, Hui Zhao

Publication date 15 June 2016

Published in Entropy (Search for Journal in Brave)

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

zbMATH Keywords

covariance estimationinformation geometrymodel selectionregime-switching log-normal modelvariational Bayes

Mathematics Subject Classification ID

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

Review text

Summary: The power of projection using divergence functions is a major theme in information geometry. One version of this is the variational Bayes (VB) method. This paper looks at VB in the context of other projection-based methods in information geometry. It also describes how to apply VB to the regime-switching log-normal model and how it provides a computationally fast solution to quantify the uncertainty in the model specification. The results show that the method can recover exactly the model structure, gives the reasonable point estimates and is very computationally efficient. The potential problems of the method in quantifying the parameter uncertainty are discussed.

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Cited in

(2)

• Conditionally conjugate mean-field variational Bayes for logistic models
• Malware family discovery using reversible jump MCMC sampling of regimes

Describes a project that uses

Uses Software

• PRMLT

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