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stat.CO2025
Variational inference for steady-state BVARs
Oskar Gustafsson, Mattias Villani
The steady-state Bayesian vector autoregression (BVAR) makes it possible to incorporate prior information about the long-run mean of the process. This has been shown in many studie…
stat.CO2020
Bayesian Optimization of Hyperparameters from Noisy Marginal Likelihood Estimates
Oskar Gustafsson, Mattias Villani, Pär Stockhammar
Bayesian models often involve a small set of hyperparameters determined by maximizing the marginal likelihood. Bayesian optimization is a popular iterative method where a Gaussian…