Variational Bayes for Regime-Switching Log-Normal Models

Variational Bayes for Regime-Switching Log-Normal Models

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 uncert...

Regime Switching Models for Markets

Search for structure in the financial markets has recently become an active field of research by scientists from different areas of expertise. The Efficient-Market Hypothesis states that the markets reflect all publically available information within their price. This also means that no profit higher than the average market returns allow can be gained using only the price information. However, ...

Regime Switching Garch Models

We develop univariate regime-switching GARCH (RS-GARCH) models wherein the conditional variance switches in time from one GARCH process to another. The switching is governed by a time-varying probability, specified as a function of past information. We provide sufficient conditions for geometric ergodicity and existence of moments. Because of path dependence, maximum likelihood estimation is no...

Variational Bayes for Generic Topic Models

The article contributes a derivation of variational Bayes for a large class of topic models by generalising from the well-known model of latent Dirichlet allocation. For an abstraction of these models as systems of interconnected mixtures, variational update equations are obtained, leading to inference algorithms for models that so far have used Gibbs sampling exclusively.

Regime - Switching Models