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

model selectioncovariance estimationvariational Bayesinformation geometryregime-switching log-normal model

Mathematics Subject Classification ID

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

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Cites work

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• A new look at the statistical model identification
• Accounting for regime and parameter uncertainty in regime-switching models
• Algebraic Geometry and Statistical Learning Theory
• Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations (with discussion)
• Bayesian Risk Management for Equity-Linked Insurance
• Convergence properties of a general algorithm for calculating variational Bayesian estimates for a normal mixture model
• Estimating the dimension of a model
• On Information and Sufficiency
• On the Adequacy of Variational Lower Bound Functions for Likelihood-based Inference in Markovian Models with Missing Values
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Second order efficiency of minimum contrast estimators in a curved exponential family
• The variational form of certain Bayes estimators
• Variational Bayesian Inference for Parametric and Nonparametric Regression With Missing Data

Cited in

(2)

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

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Uses Software

• PRMLT

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