2 citations · 2 across the 3 of their papers we have counts for
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stat.CO2019
Forecasting observables with particle filters: Any filter will do!
Patrick Leung, Catherine S. Forbes, Gael M. Martin +1
We investigate the impact of filter choice on forecast accuracy in state space models. The filters are used both to estimate the posterior distribution of the parameters, via a par…
stat.CO2019
Updating Variational Bayes: Fast sequential posterior inference
Nathaniel Tomasetti, Catherine S. Forbes, Anastasios Panagiotelis
Variational Bayesian (VB) methods produce posterior inference in a time frame considerably smaller than traditional Markov Chain Monte Carlo approaches. Although the VB posterior i…