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stat.CO2024
Recursive variational Gaussian approximation with the Whittle likelihood for linear non-Gaussian state space models
Bao Anh Vu, David Gunawan, Andrew Zammit-Mangion
Parameter inference for linear and non-Gaussian state space models is challenging because the likelihood function contains an intractable integral over the latent state variables.…
stat.CO2023★ 1 cited
R-VGAL: A Sequential Variational Bayes Algorithm for Generalised Linear Mixed Models
Bao Anh Vu, David Gunawan, Andrew Zammit-Mangion
Models with random effects, such as generalised linear mixed models (GLMMs), are often used for analysing clustered data. Parameter inference with these models is difficult because…