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stat.CO2023
Stochastic Variational Inference for GARCH Models
Hanwen Xuan, Luca Maestrini, Feng Chen +1
Stochastic variational inference algorithms are derived for fitting various heteroskedastic time series models. We examine Gaussian, t, and skew-t response GARCH models and fit the…
math.ST2023
Second Term Improvement to Generalised Linear Mixed Model Asymptotics
Luca Maestrini, Aishwarya Bhaskaran, Matt P. Wand
A recent article on generalised linear mixed model asymptotics, Jiang et al. (2022), derived the rates of convergence for the asymptotic variances of maximum likelihood estimators.…