Viking: variational Bayesian variance tracking

DOI10.1007/S11203-024-09312-7MaRDI QIDQ6635306zbMATH OpenFDO

Authors Joseph de Vilmarest, Olivier Wintenberger

Publication date 9 November 2024

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11203-024-09312-7

zbMATH Keywords

adaptive forecastingstate-space modeltime seriesvariational Bayes

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Cites work

• A Novel Adaptive Kalman Filter With Inaccurate Process and Measurement Noise Covariance Matrices
• Approaches to adaptive filtering
• Approximate Inference in State-Space Models With Heavy-Tailed Noise
• Introduction to Time Series and Forecasting
• New results in linear filtering and prediction theory
• Recursive Noise Adaptive Kalman Filtering by Variational Bayesian Approximations
• Time series analysis by state space methods.

This page was built for publication: Viking: variational Bayesian variance tracking

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6635306)