Fast and accurate variational inference for models with many latent variables
Year of publication: |
2022
|
---|---|
Authors: | Loiza-Maya, Ruben ; Smith, Michael S. ; Nott, David J. ; Danaher, Peter J. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 230.2022, 2, p. 339-362
|
Subject: | Latent variable models | Time-varying VAR with stochastic volatility | Large consumer panels | Sub-sampling variational inference | Stochastic gradient ascent | Theorie | Theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | VAR-Modell | VAR model | Induktive Statistik | Statistical inference |
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