14 citations · 35 across the 35 of their papers we have counts for
3 papers · 1 filter
Efficient Bayesian inference for multivariate factor stochastic volatility models with leverage
David Gunawan, Chris Carter, Robert Kohn
This paper discusses the efficient Bayesian estimation of a multivariate factor stochastic volatility (Factor MSV) model with leverage. We propose a novel approach to construct the…
Efficient Bayesian estimation for flexible panel models for multivariate outcomes: Impact of life events on mental health and excessive alcohol consumption
David Gunawan, Chris carter, Denzil Fiebig +1
The problem we consider considers estimating a multivariate longitudinal panel data model whose outcomes can be a combination of discrete and continuous variables. This problem is…
Fast Inference for Intractable Likelihood Problems using Variational Bayes
David Gunawan, Minh-Ngoc Tran, Robert Kohn
Variational Bayes (VB) is a popular estimation method for Bayesian inference. However, most existing VB algorithms are restricted to cases where the likelihood is tractable, which…