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stat.ME2018
Factor graph fragmentization of expectation propagation
Wilson Y. Chen, Matt P. Wand
Expectation propagation is a general approach to fast approximate inference for graphical models. The existing literature treats models separately when it comes to deriving and cod…
stat.ME2017
Semiparametric GARCH via Bayesian model averaging
Wilson Ye Chen, Richard H. Gerlach
As the dynamic structure of the financial markets is subject to dramatic changes, a model capable of providing consistently accurate volatility estimates must not make strong assum…