Variational Bayes approximation of factor stochastic volatility models
Year of publication: |
2021
|
---|---|
Authors: | Gunawan, David ; Kohn, Robert ; Nott, David |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 37.2021, 4, p. 1355-1375
|
Subject: | Bayesian inference | Prediction | Sequential variational inference | State space model | Stochastic gradient | Stochastischer Prozess | Stochastic process | Theorie | Theory | Bayes-Statistik | Volatilität | Volatility | Zustandsraummodell | Prognoseverfahren | Forecasting model |
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