A structured variational learning approach for switching latent factor models

Mohamed Saidane () and Christian Lavergne ()

AStA Advances in Statistical Analysis, 2007, vol. 91, issue 3, 245-268

Keywords: Factor models; HMM; Conditional heteroscedasticity; EM algorithm; Variational approximation (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s10182-007-0031-4

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